Accession Number:

AD0248653

Title:

THE CANONICAL CORRELATION OF FUNCTIONS OF A RANDOM VECTOR

Descriptive Note:

Corporate Author:

NORTH CAROLINA UNIV AT CHAPEL HILL DEPT OF STATISTICS

Personal Author(s):

Report Date:

1960-04-01

Pagination or Media Count:

1.0

Abstract:

The classical theory of canonical correlation is concerned with a standard description of the relationship between any linear combination of p random variables x and any linear combination of q random variables y insofar as this relation can be described in terms of correlation. Lancaster extended this theory to include a description of the correlation of any functions of x and y which have finite variances for a over class of joint distributions of x and y which is very general. Lancasters results are now derived in a fashion which lends itself easily to generalizations to the case where p and q are not finite. In the case of Gaussian, stationary, processes this generalization is equivalent to the classical spectral theory and corresponds to a canonical reduction of a finite sample of data which is basic. The theory also then extends to any number of processes. Author

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Distribution Statement:

APPROVED FOR PUBLIC RELEASE