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An Alternative Proof of Hannan's Theorem on Canonical Correlation and Multiple Equation Systems
Gregory C. Chow
D. K. Ray-Chaudhuri
Abstract
This simpler proof of a theorem of E. J. Hannan on the estimation of parameters in simultaneous stochastic equations emphasizes the equivalence between maximum likelihood and generalized variance ratio, includes a proof of a theorem on maximizing the ratio of two determinants |ANA|/|AMA| with respect to A, and brings out the restrictive assumption of Hannan's theorem in relating simultaneous equations system and canonical correlation theory.
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