Minimax convergence rates for kernel CCA

Zengyan Fan and Heng Lian

Journal of Multivariate Analysis, 2016, vol. 150, issue C, 183-190

Abstract: Consistency of kernel canonical correlation analysis (kernel CCA) has been established while its optimal convergence rate remains unknown. In this paper we derive rigorous upper and lower bounds for the convergence rate of the weight functions in kernel CCA. In particular the optimal convergence rate is shown to only depend on the rate of decay of the eigenvalues of the covariance operators.

Keywords: Canonical correlation analysis; Covariance operator; Cross-covariance operator; Lower bound (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:150:y:2016:i:c:p:183-190

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DOI: 10.1016/j.jmva.2016.05.008

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