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Canonical correlation analysis (CCA) is a method to analyze correlations between two sets of variables. It finds linear combinations of variables in each set such that their correlation is maximal.
2
votes
How to know if Canonical Correlation analysis is overfitting?
Yes, there's an interesting geometric interpretation that easily shows that if $n \le p + q$, some of the canonical correlations will become 1. In short and using your definitions of $X$ and $Y$, thi …
0
votes
How does Canonical Time Warping help in time alignment?
I think you raise a valid question, which is that "without an initial time-aligned pair of datasets, how can CCA perform well?"
My guess is that the answer is that "CCA doesn't perform well in the f …
3
votes
How to visualize what canonical correlation analysis does (in comparison to what principal c...
This answer doesn't provide a visual aid for understanding CCA, however a good geometric interpretation of CCA is presented in Chapter 12 of Anderson-1958 [1]. The gist of it is as follows:
Consider …