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9 - Principal Components and Canonical Correlation

Published online by Cambridge University Press:  23 March 2023

William W. Hsieh
Affiliation:
University of British Columbia, Vancouver
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Summary

Principal component analysis (PCA), a classical method for reducing the dimensionality of multivariate datasets, linearly combines the variables to generate new uncorrelated variables that maximize the amount of variance captured. Rotation of the PCA modes is commonly performed to provide more meaningful interpretation. Canonical correlation analysis (CCA) is a generalization of correlation (for two variables) to two groups of variables, with CCA finding modes of maximum correlation between the two groups. Instead of maximum correlation, maximum covariance analysis extracts modes with maximum covariance.

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Publisher: Cambridge University Press
Print publication year: 2023

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