Examples on how to use CCA?

[xiaodaigh]

I can't figure out how use CCA in this package

function canonicalcor(x::AbstractMatrix, y::AbstractMatrix)
    ma = inv(cov(x))*cov(x, y)*inv(cov(y))*cov(y,x)
    mb = inv(cov(y))*cov(y, x)*inv(cov(x))*cov(x,y)
    evx = eigvecs(ma)
    evy = eigvecs(mb)
    abs(cor(x*evx[:, end], y*evy[:, end]))
    #[-cor(x*evx, y*evy) for (evx, evy) in zip(eachcol(evx), eachcol(evy))]
end
canonicalcor(x, y)

I just copied the formula from wikiepdia and it agrees with the results in R.

[wildart]

Let X and Y be two samples of dimension 5 and 6 correspondingly. Package accepts data in column-major order, so samples are columns.

julia> size(X)
(5, 1000)

julia> size(Y)
(6, 1000)

julia>M = fit(CCA,X,Y; method=:svd, outdim=1)
CCA (xindim = 5, yindim = 6, outdim = 1)

julia> a = xprojection(M);

julia> b = yprojection(M);

julia> correlations(M)
1-element Array{Float64,1}:
 0.9921900042447322

julia> cor(X'a, Y'b) # need to transpose because col-major order
1×1 Array{Float64,2}:
 0.992190004244732