Abstract
As pointed out in Section 5 of Chapter 1, the standard regression problem is related to the problem of finding the maximum correlation between a scalar and a vector random variable. Indeed, the formulation of the problem is in terms of finding a linear combination of the elements of the vector random variable exhibiting maximum correlation with the given scalar variable. In this section we deal with a natural generalization in which we seek to define the correlation (or set of correlations) between two vector random variables. Specifically, the problem dealt with is as follows: Let (x 1, x 2, …, x m1 and x m1+1 , …, x m1+m2 be two sets of variables, (m 1≤m 2).
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Dhrymes, P.J. (1974). Applications of Multivariate Analysis. In: Econometrics. Springer Study Edition. Springer, New York, NY. https://doi.org/10.1007/978-1-4613-9383-2_2
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DOI: https://doi.org/10.1007/978-1-4613-9383-2_2
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