Nonlinear Canonical Correlation Analysis with Simulated Annealing Solution

Sheng G. Shi and Winson Taam
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Sheng G. Shi: Oakland University, Department of Mathematical Sciences
Winson Taam: Oakland University, Department of Mathematical Sciences

A chapter in Computing Science and Statistics, 1992, pp 514-518 from Springer

Abstract: Abstract An exploratory tool is introduced to examine potential nonlinear relationship between two sets of variables, X and Y, in a sample of multivariate data. Simulated annealing is applied to find canonical coefficient vectors a and b such that a squared nonlinear correlation between a’X and b’Y is maximized. A measure of nonlinear correlation is developed for this optimization which utilizes a nearest-neighbor regression estimate for the unknown functional relationship. In addition to examining potential relation between the canonical variables, this method can identify important variables in each set.

Keywords: Simulated Annealing; Canonical Variable; Exploratory Tool; Nonlinear Correlation; Alternate Little Square (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-2856-1_90

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DOI: 10.1007/978-1-4612-2856-1_90

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