Model selection for canonical correlation analysis |
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| Authors: | Zhao Lincheng Peng Limin Wu Yaohua |
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| Affiliation: | (1) Department of Statistics and Finance, University of Science and Technology of China, 230026 Hefei, China |
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| Abstract: | ![]()
In this paper, we study a general criterion for estimating the rank of canonical correlation matrix (CCM). Besides the strong consistency, we give the exponential-type bounds under certain conditions on the probability of wrong detection of the rank of CCM. On the basis of this criterion, we give two methods to determine the multiplicities of canonical correlation coefficents. And the strong consistency of them is established. |
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| Keywords: | Canonical correlation model selection consistency Akaike's information criterion |
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