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Canonical Correlation a Tutorial

Canonical Correlationa TutorialMagnus BorgaJanuary 12, 2001 Contents1 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. The latest version of this Tutorial isavailable magnus/cca/.

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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