Asymptotic expansions of test statistics for dimensionality and additional information in canonical correlation analysis when the dimension is large

JOURNAL OF MULTIVARIATE ANALYSIS

卷:100

Article

Sakurai, Tetsuro

关键词: Asymptotic expansion;    Additional information;    Canonical correlation analysis;    Tests for dimensionality;    High-dimensional framework;   

DOI  :  10.1016/j.jmva.2008.09.005

来源: Elsevier

【 摘 要 】

This paper examines asymptotic expansions of test statistics for dimensionality and additional information in canonical correlation analysis based on a sample of size N = n + 1 on two sets of variables, i.e., x(u); p(1) x 1 and x(nu) ; p(2) x 1. These problems are related to dimension reduction. The asymptotic approximations of the statistics have been studied extensively when dimensions p, and p2 are fixed and the sample size N tends to infinity. However, the approximations worsen as p, and p(2) increase. This paper derives asymptotic expansions of the test statistics when both the sample size and dimension are large, assuming that x(u) and x(nu) have a joint (p(1) + p(2))-variate normal distribution. Numerical simulations revealed that this approximation is more accurate than the classical approximation as the dimension increases. (C) 2008 Elsevier Inc. All rights reserved.

【 授权许可】

Free