The function performs the Regularized extension of the Canonical Correlation Analysis
to seek correlations between two data matrices when the number of columns (variables)
exceeds the number of rows (observations)
Usage
rcc(X, Y, lambda1, lambda2)
Value
A list containing the following components:
corr
canonical correlations
names
a list containing the names to be used for individuals and variables
for graphical outputs
xcoef
estimated coefficients for the 'X' variables as returned by cancor()
ycoef
estimated coefficients for the 'Y' variables as returned by cancor()
scores
a list returned by the internal function comput() containing individuals
and variables coordinates on the canonical variates basis.
Arguments
X
numeric matrix (n * p), containing the X coordinates.
Y
numeric matrix (n * q), containing the Y coordinates.
lambda1
Regularization parameter for X
lambda2
Regularization parameter for Y
Author
Sébastien Déjean, Ignacio González
Details
When the number of columns is greater than the number of rows, the matrice
X'X (and/or Y'Y) may be ill-conditioned. The regularization allows the inversion
by adding a term on the diagonal.
References
Leurgans, Moyeed and Silverman, (1993). Canonical correlation analysis
when the data are curves. J. Roy. Statist. Soc. Ser. B. 55, 725-740.
Vinod (1976). Canonical ridge and econometrics of joint production.
J. Econometr. 6, 129-137.