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Canonical Correlation Analysis

In: Statistical Analysis of Management Data

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  • Hubert Gatignon

    (INSEAD, The Business School for the World)

Abstract

In canonical correlationCanonical correlation analysis, the objective is to relate a set of dependent or criterion variables to another set of independent or predictor variables. In order to do that, we find a scalar, defined as a linear combination of the dependent variables, as well as a scalar defined as a linear combination of the independent variables. The criterion used to judge the relationship between this set of independent variables with the set of dependent variables is simply the correlation between the two scalars. Canonical correlation analysis then consists in finding the weights to apply to the linear combinations of the independent and dependent variables that will maximize the correlation coefficient between those two linear combinations. The problem can be represented graphically as in Fig. 7.1

Suggested Citation

  • Hubert Gatignon, 2010. "Canonical Correlation Analysis," Springer Books, in: Statistical Analysis of Management Data, edition 2, chapter 0, pages 187-198, Springer.
    • Handle: RePEc:spr:sprchp:978-1-4419-1270-1_7
    DOI: 10.1007/978-1-4419-1270-1_7
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