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Eigenvalue decomposition of block covariance matrix for Canonical Correlation Analysis (CCA)
Edited:
My question is related to a tutorial I was reading.
The covariance matrix is a block matrix where $C_{xx}$ and $C_{yy}$ are within-set covariance matrices and $C_{xy} = C_{yx}^T$ are between-...
- 103
3
votes
1
answer
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Use Pearson's correlation coefficient on a matrix
I have a problem to interpret the following formula which is said to be the Pearson's correlation coefficient:
$$r = \frac{N \left(\sum XY\right) - \left(\sum X\right) \left(\sum Y\right)}{\sqrt{\...
- 33