Canonical Correlation Analysis - canoncorr function in matlab
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I am just starting with CCA, I am trying to explore it using the matlab function, but I guess I am stuck understand the result I get using canoncorr function.
[A,B,r,U,V] = canoncorr(X,Y)
My understanding is that I would get U=A'*X, and Y=B'Y, but doing that with the return type does not give me the expected result.
I tried looking at the code for canoncorr. It has something like
if nargout > 3
U = X * A;
V = Y * B;
I am not sure, why U is being calculated like that, as opposed to definition here http://en.wikipedia.org/wiki/Canonical_correlation
Tom Lane on 7 Mar 2013
Try comparing V with the product
The first factor is just Y with the column means subtracted. Alternatively, you can compute Y*B and subtract the column means of the result.
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