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A unified approach to multiple‐set canonical correlation analysis and principal components analysis
Author(s) -
Hwang Heungsun,
Jung Kwanghee,
Takane Yoshio,
Woodward Todd S.
Publication year - 2013
Publication title -
british journal of mathematical and statistical psychology
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 3.157
H-Index - 51
eISSN - 2044-8317
pISSN - 0007-1102
DOI - 10.1111/j.2044-8317.2012.02052.x
Subject(s) - canonical correlation , principal component analysis , set (abstract data type) , data set , variance (accounting) , reduction (mathematics) , mathematics , data mining , computer science , function (biology) , data reduction , canonical analysis , variance reduction , algorithm , statistics , geometry , accounting , evolutionary biology , business , biology , programming language , monte carlo method
Multiple‐set canonical correlation analysis and principal components analysis are popular data reduction techniques in various fields, including psychology. Both techniques aim to extract a series of weighted composites or components of observed variables for the purpose of data reduction. However, their objectives of performing data reduction are different. Multiple‐set canonical correlation analysis focuses on describing the association among several sets of variables through data reduction, whereas principal components analysis concentrates on explaining the maximum variance of a single set of variables. In this paper, we provide a unified framework that combines these seemingly incompatible techniques. The proposed approach embraces the two techniques as special cases. More importantly, it permits a compromise between the techniques in yielding solutions. For instance, we may obtain components in such a way that they maximize the association among multiple data sets, while also accounting for the variance of each data set. We develop a single optimization function for parameter estimation, which is a weighted sum of two criteria for multiple‐set canonical correlation analysis and principal components analysis. We minimize this function analytically. We conduct simulation studies to investigate the performance of the proposed approach based on synthetic data. We also apply the approach for the analysis of functional neuroimaging data to illustrate its empirical usefulness.