Canonical correlation analysis - remove canonical variates from data X
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Hello,
I'm working through canonical correlation analysis and would like to understand whether/how this apply for removing sources from the data input X.
Following this matlab example: (https://se.mathworks.com/help/stats/canoncorr.html)
load carbig;
data = [Displacement Horsepower Weight Acceleration MPG];
nans = sum(isnan(data),2) > 0;
X = data(~nans,1:3);
Y = data(~nans,4:5);
[A,B,r,U,V] = canoncorr(X,Y);
Is it possible to project our the first sources in U from the data matrix X? I am used to doing this with pca - project out sources - but have not understood how to do it with canoncorr, or if it is possible.
Usually from my reduced rank data X, U will have less canonical components than X there are columns in X.
Any help is appreciated.
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