Neuenschwander, Beat E.; Flury, Bernard D. - In: Journal of Multivariate Analysis 75 (2000) 2, pp. 163-183
Let the kp-variate random vector X be partitioned into k subvectors Xi of dimension p each, and let the covariance matrix [Psi] of X be partitioned analogously into submatrices [Psi]ij. The common principal component (CPC) model for dependent random vectors assumes the existence of an orthogonal...