Rdimtools (version 1.1.2)

do.cca: Canonical Correlation Analysis

Description

Canonical Correlation Analysis (CCA) is similar to Partial Least Squares (PLS), except for one objective; while PLS focuses on maximizing covariance, CCA maximizes the correlation. This difference sometimes incurs quite distinct results compared to PLS. For algorithm aspects, we used recursive gram-schmidt orthogonalization in conjunction with extracting projection vectors under eigen-decomposition formulation, as the problem dimension matters only up to original dimensionality.

Usage

do.cca(data1, data2, ndim = 2)

Value

a named list containing

Y1

an \((n\times ndim)\) matrix of projected observations from data1.

Y2

an \((n\times ndim)\) matrix of projected observations from data2.

projection1

a \((N\times ndim)\) whose columns are loadings for data1.

projection2

a \((M\times ndim)\) whose columns are loadings for data2.

trfinfo1

a list containing information for out-of-sample prediction for data1.

trfinfo2

a list containing information for out-of-sample prediction for data2.

eigvals

a vector of eigenvalues for iterative decomposition.

Arguments

data1

an \((n\times N)\) data matrix whose rows are observations

data2

an \((n\times M)\) data matrix whose rows are observations

ndim

an integer-valued target dimension.

Author

Kisung You

References

hotelling_relations_1936Rdimtools

See Also

do.pls

Examples

## generate 2 normal data matrices
set.seed(100)
mat1 = matrix(rnorm(100*12),nrow=100)+10 # 12-dim normal
mat2 = matrix(rnorm(100*6), nrow=100)-10 # 6-dim normal

## project onto 2 dimensional space for each data
output = do.cca(mat1, mat2, ndim=2)

## visualize
opar <- par(no.readonly=TRUE)
par(mfrow=c(1,2))
plot(output$Y1, main="proj(mat1)")
plot(output$Y2, main="proj(mat2)")
par(opar)