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Accession Number ADA578246
Title Measure Transformed Canonical Correlation Analysis.
Publication Date 2012
Media Count 37p
Personal Author A. O. Hero K. Todros
Abstract In this paper linear canonical correlation analysis (LCCA) is generalized by applying a structured transform to the joint probability distribution of the considered pair of random vectors, i.e., a transformation of the joint probability measure defined on their joint observation space. This framework, called measure transformed canonical correlation analysis (MTCCA), applies LCCA to the data after transformation of the joint probability measure. We show that judicious choice of the transform leads to a modified canonical correlation analysis, which, in contrast to LCCA, is capable of detecting non- linear relationships between the considered pair of random vectors. Unlike kernel canonical correlation analysis, where the transformation is applied to the random vectors, in MTCCA the transformation is applied to their joint probability distribution. This results in performance advantages and reduced implementation complexity. The proposed approach is illustrated for graphical model selection in simulated data having non-linear dependencies, and for measuring long-term associations between companies traded in the NASDAQ and NYSE stock markets.
Keywords Association analysis
Canonical correlation analysis
Correlation
Graphical model selections
Graphics
Lcca(Linear canonical correlation analysis)
Measurement
Models
Mtcca(Measure transformed canonical correlation analysis)
Multivariate data analysis
Probability
Probability measures
Random vectors
Transformations
Vector analysis

 
Source Agency Non Paid ADAS
NTIS Subject Category 72F - Statistical Analysis
62 - Computers, Control & Information Theory
Corporate Author Michigan Univ., Ann Arbor. Dept. of Electrical Engineering and Computer Science.
Document Type Technical report
Title Note Technical rept.
NTIS Issue Number 1321
Contract Number W911NF-09-1-0310

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