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Show that the canonical correlation model of Theorem 5.8 is equivalent to the model
THEOREM 5.8
Let Σ be a (p x p) partitioned covariance matrix. The coefficients that maximize the correlation between the linear combinations u =aTX(1) and v = βTX(2) are the latent vector solutions of the systems of equations.
where the matrices are as in Eq. (5.52) and λ = μ =aTΣ12β is the maximum correlation.
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