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Canonical Correlation a Tutorial

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Canonical Correlationa TutorialMagnus BorgaJanuary 12, 2001Contents1 About this tutorial12 Introduction23 Definition24 Calculating Canonical correlations35 Relating difference between CCA and ordinary Correlation analysis . . to other linear subspace Equalnoiseenergies .................... between a signal and the corrupted signal . . .6A Affinetransformations ....................... Principal component analysis .................... Partial least Multivariate linear regression .................... 101 About this tutorialThis is a printable version of a Tutorial in HTML format. The Tutorial may bemodified at any time as will this version.

In this case, the relation between SNR and correlation is S N = 2 1 2: (17) This relation between correlation and SNR is illustrated in figure 1 (bottom). A Explanations A.1 A note on correlation and covariance matrices In neural network literature, the matrix C xx in equation 3 is often called a corre-lation matrix. This can be a bit ...

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