HUBER, Philippe; SCAILLET, Olivier; VICTORIA-FESER, … - Swiss Finance Institute - 2005
model, factor analysis, multinomial logit, forecasts, LAMLE, canonical
correlation.
JEL Classification:C12,C13,C30,C51,C52,C … random vectors, namely the
canonical correlation coefficient, and show that this coefficient has a natural
interpretation in ….
2 Canonical correlation coefficient and SEM
In the context of continuous random vectors a well known measure of asso …