Does anyone know how to get a meaningful estimate of the covariance
matrix for the first canonical variate coefficients for the right-hand
(X) side of a canonical regression? cancor returns coefficients but not
precisions. This would have to be subject to some constraint because of
identifiability problems (arbitrary scaling). I think that SPSS
attempts to do this but seems to condition on the Y-coefficients which
ignores a major source of uncertainty.
Thanks
Frank
--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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