Canonical Correlation a Tutorial
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.
Correlation is strongly related to signal to noise ratio (SNR), which is a more com-monly used measure in signal processing. Consider a signal x and two noise signals 1 and 2 all having zero mean1 and all being uncorrelated with each other. Let S = E [x 2] and N i i
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