Non-linear canonical correlation analysis with a simulated annealing solution |
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Authors: | Sheng G Shi Winson Taam |
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Institution: | Department of Mathematical Sciences , Oakland University , Rochester, MI |
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Abstract: | An exploratory tool is introduced to examine potential non-linear relation-ships between two sets of variables, X andY, in a sample of multivariate data. Simulated annealing is applied to find canonical coefficient vectors a and b such that a squared non-linear correlation between a'Xand b'Y is maximiSed. A measure of non-linear correlation is developed for this optimization which utilies a nearest-neighbor regression estimate for the unknown functional relationship. In addition to examining potential relations between the canonical variables, this method can identify the important variables in each set. |
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