On the Regularization of Canonical Correlation Analysis
Tijl De Bie, Bart De Moor, Kasteelpark Arenberg · Ghent University Academic Bibliography (Ghent University) · 2003
By elucidating a parallel between canonical correlation anal-ysis (CCA) and least squares regression (LSR), we show how regularization of CCA can be performed and inter-preted in the same spirit as the regularization applied in ridge regression (RR). Furthermore, the results presented may have an impact on the practical use of regularized CCA (RCCA). More specifically, a relevant cross validation cost function for train-ing the regularization parameter, naturally follows from the derivations. 1.