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2004 Sep 11
4
Cancor
...#39;s!
I am strugling with cancor procedure in R. I cannot figure out the
meaning of xcoef and of yxcoef.
Are these:
1. standardized coefficients
2. structural coefficients
3. something else?
I have tried to simulate canonical correlation analysis by checking the
eigenstructure of the expression:
Sigma_xx %*% Sigma_xy %*% Sigma_yy %*% t(Sigma_xy).
The resulting eigenvalues were the same as the squared values of
cancor$cor. I have normalized the resulting eigenvectors, the a's with
sqrt(a'%*%Sigma_xx%*%t(a)), and similarly the b's with
sqrt(b'%*%Sigma_yy%*%t(b)).
The results differ...