This package implements canonical correlation in Julia. Someday it will also implement partial least squares. (If you'd like to contribute, please let me know!)
To perform canonical correlation analysis between matrices X
and Y
:
using CrossDecomposition
cc = canoncor(X, Y)
cc
is a CanonicalCorrelation
object that implements the following methods:
coef(cc)
returns the canonical coefficients (loadings) ofX
andY
as a tuple of two matrices. The coefficients are scaled so that the scores have identity covariance.cor(cc)
returns the vector of canonical correlations.scores(cc)
returns the canonical variables (component scores) ofX
andY
as a tuple of two matrices.