Stochastic approximation of the factors of a generalized canonical correlation analysis

Jean-Marie Monnez (1)

1 IECN - Institut Élie Cartan de Nancy

We suppose that data of a generalized canonical correlation analysis are i.i.d. observations of a random vector Z which are taken sequentially. We define a recursive method of sequential estimation of the factors. This can be applied also when there is a great amount of non random data vectors.

Mots clés: Stochastic approximation; Canonical correlation analysis

Domaines: Statistiques [math.ST]

Jean-Marie Monnez. Stochastic approximation of the factors of a generalized canonical correlation analysis. Statistics and Probability Letters, 2008, 78 (14), pp.2210-2216. ⟨hal-00143272⟩