Canonical Correlation Analysis
Alles Gescheite ist schon gedacht worden, man muß nur versuchen, es noch einmal zu denken (Johann Wolfgang von Goethe, Wilhelm Meisters Wanderjahre, 1749–1832.) Every clever thought has been thought before, we can only try to recreate these thoughts.
In Chapter 2 we represented a random vector as a linear combination of uncorrelated vectors. From one random vector we progress to two vectors, but now we look for correlation between the variables of the first and second vectors, and in particular, we want to find out which variables are correlated and how strong this relationship is.
In medical diagnostics, for example, we may meet multivariate measurements obtained from tissue and plasma samples ...