Marc Raimondo - CMI
Marc Raimondo - CMI
Marc Raimondo - CMI
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Rmax as singular value<br />
Use SVD: X = UXDXV T X , Y = UY DY V T<br />
Y<br />
⇒ R(X,Y ) = σ1(U T XUY ), with<br />
UX ∈ Vn,p – Stiefel manifold of orthonormal p−frames, etc<br />
Claim (provisional!)<br />
P {σ1 ≥ Eσ1 + t} ≤ e −(n−2)t2 /8 .<br />
⇒ other double Wishart cases (regression, MANOVA, etc).<br />
Luminy 12/08 – p.33
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