ABSTRACT
The components of U are one set of canonical variates, the components of (V(1), V
(2))=B2X(2) are other sets of canonical variates, and
Definition 11.1.3. The ith pair of canonical variates, i=1,…, p1, is the pair of linear
combinations Ui=a (i)'X(1), Vi=ß
(i)'X(2), each of unit variance and uncorrelated with the first (i-1) pairs of canonical variates (Uj, Vj), j=1,…, i-1, and having maximum correlation. The coefficient of correlation between Ui and Vi is called the ith canonical correlation. Hence we have the following theorem.
