I ran a Canonical Correlation Analysis on about 845 cases with 1000 variables each. (It originally started with 1000 cases and 400 variables but by using a kernel I got a 1000x1000 matrix)
As a result I got mainly eigenvalues very close to 1 (e.g. the highest: 0.9999987616532545), then there were a couple with E-8, five with 0 and some negative ones.
I find especially the nearly 1000 1's quite strange or is that a result that is possible/makes sense? I didn't quite get the results that I was hoping for, so I was wondering if all those nearly 1's could be the cause and if anyone has an idea what might have caused those?
I use EigenDecomposition from Commons Math 3.0 (http://commons.apache.org/math/apidocs/index.html). I also tried some other matrices earlier and then got "MaxCountExceededException: illegal state: convergence failed" error. Not sure if that has anything to do with it, but I thought I'd add it.