Correlation analysis of principal components from two populations
We investigate a correlation coefficient of principal components from two sets of variables. Using perturbation expansion, we get a limiting distribution of the correlation. In addition, we obtain a limiting distribution of the Fisher's z transformation of the above correlation. Additionally, we verify the accuracy of the limiting distributions using Monte Carlo simulations. Finally in this study, we present two examples and a bootstrap estimation.
principal component fisher's z transformation bootstrap perturbation method canonical correlation analysis