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On Measure Transformed Canonical Correlation Analysis

Koby Todros and Alfred O. Hero III

Abstract

In this paper linear canonical correlation analysis (LCCA) is generalized by applying a structured transform to the joint probability distribution of the considered pair of random vectors, i.e., a transformation of the joint probability measure defined on their joint observation space. This framework, called measure transformed canonical correlation analysis (MTCCA), applies LCCA to the data after transformation of the joint probability measure. We show that judicious choice of the transform leads to a modified canonical correlation analysis, which, in contrast to LCCA, is capable of detecting non-linear relationships between the considered pair of random vectors. Unlike kernel canonical correlation analysis, where the transformation is applied to the random vectors, in MTCCA the transformation is applied to their joint probability distribution. This results in performance advantages and reduced implementation complexity. The proposed approach is illustrated for graphical model selection in simulated data having non-linear dependencies, and for measuring long-term associations between companies traded in the NASDAQ and NYSE stock markets.

Paper

K. Todros and A. O. Hero, “On Measure Transformed Canonical Correlation Analysis”, IEEE Trans. Signal Processing, vol. 60, no. 9, pp. 4570-4585, Sep. 2012.

Matlab Code

MTCCA code: mtcca_matlab_code.zip

1. For synthetic data demo please use MTCCA_DEMO_SYNTHETIC_DATA.m.

2. For stock data analysis via exponential-MTCCA please use STOCK_DATA_ANALYSIS_EXP_MTCCA.m.

3. For stock data analysis via Gaussian-MTCCA please use STOCK_DATA_ANALYSIS_GAUSS_MTCCA.m.

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