11 Canonical Correlation Analysis
Every method so far has treated the \(p\) variables as one set. Suppose instead they divide naturally into two groups — physical measurements and performance measurements, say, or inputs and outputs — and the question is how strongly the two groups are related as groups.
Correlating every variable in one set with every variable in the other gives \(p_1p_2\) numbers and no summary. Canonical correlation analysis reduces this to a few, by asking for the linear combination of the first set most strongly correlated with a linear combination of the second.
11.1 Canonical Variates
11.2 Solution by Eigenvalues
11.3 Special Cases and Cautions
11.4 Practice Problems
11.2 Solution by Eigenvalues
11.3 Special Cases and Cautions
11.4 Practice Problems
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