Article ID Journal Published Year Pages File Type
418175 Computational Statistics & Data Analysis 2007 10 Pages PDF
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
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