Programming the statistical procedures from SAS

PROC CANCOR

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PROC CANCOR

Hi All -

In canonical correlation, the ith eigenvalue of the matrix R (where R is the product of the inverse of the variance-covariance matrix of y, the covariance matrix of x and y, the inverse of the variance-covariance matrix of x, and the covariance matrix of y and x) is equal to the ith canonical correlation squared.

Why then does SAS output the eigenvalues derived by CanRsq / (1 - CanRsq) rather than having the eigenvalues be equal to CanRsq?

Thanks,

Song
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