[R] Covariance matrix for first canonical variate

Frank E Harrell Jr f.harrell at vanderbilt.edu
Thu Sep 21 15:44:20 CEST 2006

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.

Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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