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Canonical correlation

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In statistics, canonical-correlation analysis (CCA), also called canonical variates analysis, is a way of inferring information from cross-covariance matrices. If we have two vectors X = (X1, ..., Xn) and Y = (Y1, ..., Ym) of random variables, and there are correlations among the variables, then canonical-correlation analysis will find linear combinations of X and Y that have a maximum correlation with each other.[1] T. R. Knapp notes that "virtually all of the commonly encountered parametric tests of significance can be treated as special cases of canonical-correlation analysis, which is the general procedure for investigating the relationships between two sets of variables."[2] The method was first introduced by Harold Hotelling in 1936,[3] although in the context of angles between flats the mathematical concept was published by Camille Jordan in 1875.[4]

CCA is now a cornerstone of multivariate statistics and multi-view learning, and a great number of interpretations and extensions have been proposed, such as probabilistic CCA, sparse CCA, multi-view CCA, Deep CCA, and DeepGeoCCA.[5] Unfortunately, perhaps because of its popularity, the literature can be inconsistent with notation, we attempt to highlight such inconsistencies in this article to help the reader make best use of the existing literature and techniques available.

Like its sister method PCA, CCA can be viewed in population form (corresponding to random vectors and their covariance matrices) or in sample form (corresponding to datasets and their sample covariance matrices). These two forms are almost exact analogues of each other, which is why their distinction is often overlooked, but they can behave very differently in high dimensional settings.[6] We next give explicit mathematical definitions for the population problem and highlight the different objects in the so-called canonical decomposition - understanding the differences between these objects is crucial for interpretation of the technique.

  1. ^ Härdle, Wolfgang; Simar, Léopold (2007). "Canonical Correlation Analysis". Applied Multivariate Statistical Analysis. pp. 321–330. CiteSeerX 10.1.1.324.403. doi:10.1007/978-3-540-72244-1_14. ISBN 978-3-540-72243-4.
  2. ^ Knapp, T. R. (1978). "Canonical correlation analysis: A general parametric significance-testing system". Psychological Bulletin. 85 (2): 410–416. doi:10.1037/0033-2909.85.2.410.
  3. ^ Hotelling, H. (1936). "Relations Between Two Sets of Variates". Biometrika. 28 (3–4): 321–377. doi:10.1093/biomet/28.3-4.321. JSTOR 2333955.
  4. ^ Jordan, C. (1875). "Essai sur la géométrie à dimensions". Bull. Soc. Math. France. 3: 103.
  5. ^ Ju, Ce; Kobler, Reinmar J; Tang, Liyao; Guan, Cuntai; Kawanabe, Motoaki (2024). Deep Geodesic Canonical Correlation Analysis for Covariance-Based Neuroimaging Data. The Twelfth International Conference on Learning Representations (ICLR 2024, spotlight).
  6. ^ "Statistical Learning with Sparsity: the Lasso and Generalizations". hastie.su.domains. Retrieved 2023-09-12.

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