Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
418175 | Computational Statistics & Data Analysis | 2007 | 10 Pages |
Abstract
We investigate a correlation coefficient of principal components from two sets of variables. Using perturbation expansion, we get a limiting distribution of the correlation. In addition, we obtain a limiting distribution of the Fisher's z transformation of the above correlation. Additionally, we verify the accuracy of the limiting distributions using Monte Carlo simulations. Finally in this study, we present two examples and a bootstrap estimation.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Michiyo Yamamoto, Takakazu Sugiyama, Hidetoshi Murakami, Fumitake Sakaori,