innerCCA: Sparse Canonical Covariates Analysis (CCA)

In mortenarendt/StructuralKnowledgeModl: Incorporation of Structural Knowledge in Multivariate Models

Description

This functions minimises |Cxy-udv'|2 s.t. sum(abs(u))<sumabs[1], sum(abs(v))<sumabs[2], norm(u,2)=norm(v,2) = 1 with respect to u and v. sequencially by deflation and subsequently calculates canonical variates.

Usage

innerCCA(CxyR, X, Y, ncomp, sumabs)

Arguments

X	a n by px matrix
Y	a n by py matrix
ncomp	scalar - number of components
sumabs	1 by 2 vector of L1 contraint on u and v respectively
Cxy	a px by py crossproduct matrix between features in X and Y

mortenarendt/StructuralKnowledgeModl documentation built on May 21, 2019, 11:42 a.m.