Cannonical Correlation

R. is the product of the inverse of the correlation matrix of . q’ (Ryy), a correlation matrix between . q’ and . p’ (Ryx), the inverse of correlation matrix of . p’ (Rxx), and the other correlation matrix between . q’ and . p’ (Rxy). Canonical analysis proceeds by solving the above equation for eigenvalues and eigenvectors of the ... ................
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