Canonical correlation analysis based on information theory

Xiangrong Yin

Journal of Multivariate Analysis, 2004, vol. 91, issue 2, 161-176

Abstract: In this article, we propose a new canonical correlation method based on information theory. This method examines potential nonlinear relationships between px1 vector Y-set and qx1 vector X-set. It finds canonical coefficient vectors a and b by maximizing a more general measure, the mutual information, between aTX and bTY. We use a permutation test to determine the pairs of the new canonical correlation variates, which requires no specific distributions for X and Y as long as one can estimate the densities of aTX and bTY nonparametrically. Examples illustrating the new method are presented.

Keywords: Canonical; correlation; analysis; Multivariate; analysis; Mutual; information; Permutation; test (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (6)

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