Relations between two sets of variates: The bits of information provided by each variate in each set

Canonical correlation theory is extended so that each variate in each of the two observed sets of variates is assigned a unique information-theoretic measure of its contribution to the total amount of information that either set provides about the other.

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Bibliographic Details
Published in:Statistics & probability letters 1988, Vol.6 (3), p.137-139
Main Authors: Theil, Henri, Chung, Ching-Fan
Format: Article
Language:English
Subjects:
canonical correlation theory
canonical correlation theory information theory
information theory
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Description
Summary:Canonical correlation theory is extended so that each variate in each of the two observed sets of variates is assigned a unique information-theoretic measure of its contribution to the total amount of information that either set provides about the other.
ISSN:0167-7152
1879-2103
DOI:10.1016/0167-7152(88)90107-1