myrcc {mixedCCA}

Internal RidgeCCA function

Description

This function is modified from CCA package rcc function. This function is used for simulation. Inputs should be correlation or covariance matrices of each data set and between datasets.

Usage

myrcc(R1, R2, R12, lambda1, lambda2, tol = 1e-04)

Arguments

R1

correlation/covariance/rank-based correlation matrix of dataset X1.

R2

correlation/covariance/rank-based correlation matrix of dataset X2.

R12

correlation/covariance/rank-based correlation matrix between dataset X1 and dataset X2.

lambda1

tuning parameter (a scalar value) for dataset X1.

lambda2

tuning parameter (a scalar value) for dataset X2.

tol

tolerance for eigenvalues. Refer to standardCCA function.

Value

myrcc returns a data.frame containing

• cancor: estimated canonical correlation.

• w1: estimated canonical direction w1.

• w2: estimated canonical direction w2.