Report Number: CS-TR-69-124
Institution: Stanford University, Department of Computer Science
Title: Matrix decompositions and statistical calculations
Author: Golub, Gene H.
Date: March 1969
Abstract: Several matrix decompositions which are of some interest in statistical calculations are presented. An accurate method for calculating the canonical correlation is given.
http://i.stanford.edu/pub/cstr/reports/cs/tr/69/124/CS-TR-69-124.pdf