Sparse Canonical Correlation Analysis from a Predictive Point of View

Abstract

Canonical correlation analysis (CCA) describes the associations between two sets of variables by maximizing the correlation between linear combinations of the variables in each data set. However, in high-dimensional settings where the number of variables exceeds the sample size or when the variables are highly correlated, traditional CCA is no longer appropriate. This paper proposes a method for sparse CCA. Sparse estimation produces linear combinations of only a subset of variables from each data set, thereby increasing the interpretability of the canonical variates. We consider the CCA problem from a predictive point of view and recast it into a multivariate regression framework. By combining a multi-variate alternating regression approach together with a lasso penalty, we induce sparsity in the canonical vectors. We compare the performance with other sparse CCA techniques in different simulation settings and illustrate its usefulness on a genomic data set.