Using Theorem 5.8 prove Eq. (5.60).
THEOREM 5.8
Let Σ be a (p x p) partitioned covariance matrix. The coefficients that maximize the correlation between the linear combinations u =aTX(1) and v = βTX(2) are the latent vector solutions of the systems of equations.
![](https://test.transtutors.com/qimg/512857eb-9d8c-4201-b3b0-0ac353d5ef5b.png)
where the matrices are as in Eq. (5.52) and λ = μ =aTΣ12β is the maximum correlation.
![](https://test.transtutors.com/qimg/27c79c2a-647e-4fc9-b840-5d6dc8d0c0ee.png)
![](https://test.transtutors.com/qimg/98650565-39eb-4018-bada-dc822c9ed8ae.png)