Title: A Tutorial on Canonical Correlation Methods,
Abstract: Canonical correlation analysis is a family of multivariate statistical
methods for the analysis of paired sets of variables. Since its proposition,
canonical correlation analysis has for instance been extended to extract
relations between two sets of variables when the sample size is insufficient in
relation to the data dimensionality, when the relations have been considered to
be non-linear, and when the dimensionality is too large for human
interpretation. This tutorial explains the theory of canonical correlation
analysis including its regularised, kernel, and sparse variants. Additionally,
the deep and Bayesian CCA extensions are briefly reviewed. Together with the
numerical examples, this overview provides a coherent compendium on the
applicability of the variants of canonical correlation analysis. By bringing
together techniques for solving the optimisation problems, evaluating the
statistical significance and generalisability of the canonical correlation
model, and interpreting the relations, we hope that this article can serve as a
hands-on tool for applying canonical correlation methods in data analysis.