Stochastic approximation of the factors of a generalized canonical correlation analysis

Jean-Marie Monnez

Statistics & Probability Letters, 2008, vol. 78, issue 14, 2210-2216

Abstract: We suppose that data of a generalized canonical correlation analysis are i.i.d. observations of a random vector Z which are taken sequentially. We define a recursive method of sequential estimation of the factors. This can be applied also when there are a great number of non random data vectors.

Date: 2008
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