Question

Show that the canonical correlations are invariant under nonsingular linear transforma- tions of the X(1), x(2) variables of the form C x1) and D X(2. (pXp) (px1)(x) (axi) Cx(1) Hint: Consider Cov DX(2) Xiz Consider any linear combie nation a:(CX(1))-а,X(1) with with b, bị D. The choices aÍ correlation. a, ajC. Similarly, consider bi(DX(2)) bXCL eTĪl/C-1 and bi-r>E1/2D-1 give the maximum

Answer 1

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