This package implements canonical correlation in Julia. Someday it will also implement partial least squares. (If you'd like to contribute, please let me know!)
To perform canonical correlation analysis between matrices
using CrossDecomposition cc = canoncor(X, Y)
cc is a
CanonicalCorrelation object that implements the following methods:
coef(cc)returns the canonical coefficients (loadings) of
Yas a tuple of two matrices. The coefficients are scaled so that the scores have identity covariance.
cor(cc)returns the vector of canonical correlations.
scores(cc)returns the canonical variables (component scores) of
Yas a tuple of two matrices.