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 ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.