R/rotationmat.maxcor.R

In tpepler/cpc: Common principal component (CPC) analysis and applications

rotationmat.maxcor <- function(p)
{
  # Finds rotation matrix with maximum correlation between the variables
  
  # p: number of variables
  
  theta <- pi / 4 # 45 degree angle in radians
  rotatemat <- NULL
  
  for(i in 1:(p - 1)){
    for(j in (i + 1):p){
      tempmat <- diag(rep(1, times = p))#matrix(0,nrow=p,ncol=p)
      tempmat[i, i] <- cos(theta)
      tempmat[j, j] <- cos(theta)
      if((i%%2) == 0){
        tempmat[i, j] <- sin(theta)
        tempmat[j, i] <- -sin(theta)
      }
      else{
        tempmat[i, j] <- -sin(theta)
        tempmat[j, i] <- sin(theta)
      }      
      if(is.null(rotatemat)){rotatemat <- tempmat}
      else{rotatemat <- rotatemat %*% tempmat}
    }
  }
  
  return(rotatemat)
}