Canonical correlation analysis for functional data

Classical canonical correlation analysis seeks the associations between two data sets, i.e. it searches for linear combinations of the original variables having maximal correlation. Our task is to maximize this correlation, and is equivalent to solving a generalized eigenvalue problem. The maximal c...

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Bibliographic Details
Published in:Biometrical letters 2013-12, Vol.50 (2), p.95-105
Main Authors: Krzyśko, Mirosław, Waszak, Łukasz
Format: Article
Language:English
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Summary:Classical canonical correlation analysis seeks the associations between two data sets, i.e. it searches for linear combinations of the original variables having maximal correlation. Our task is to maximize this correlation, and is equivalent to solving a generalized eigenvalue problem. The maximal correlation coefficient (being a solution of this problem) is the first canonical correlation coefficient. In this paper we propose a new method of constructing canonical correlations and canonical variables for a pair of stochastic processes represented by a finite number of orthonormal basis functions.
ISSN:1896-3811
2199-577X
DOI:10.2478/bile-2013-0020