Summary
Generalized canonical correlation matrix is associated with canonical correlation analysis, multivariate analysis of variance, a large variety of statistical tests and regression problems. In this paper two methods of deriving the distribution are, given and the exact distribution is given in an elegant form. The techniques of derivation are applicable to all versions of the generalized canonical correlation matrices, nonnull distributions in generalized analysis of variance problems and also they give rise to a simpler derivation of the distribution, of the multiple correlation coefficient.
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Mathai, A.M. Distribution of the canonical correlation matrix. Ann Inst Stat Math 33, 35–43 (1981). https://doi.org/10.1007/BF02480917
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DOI: https://doi.org/10.1007/BF02480917