randomized cca function.

uses random matrix to estimate cca results

randcca(x, y, k, seed = NA)

Arguments

x

input matrix
y

input matrix
k

rank to use
seed

for testing

Value

outputs a list containing:

  • whitened: low-rank whitened joint matrix

  • svd: low-rank svd of joint matrix

Examples

set.seed(13)
x <- matrix(rnorm(3000), nrow=50 )
y <- x %*% matrix( rnorm( 60*100 ), nrow=60)
k=10
dr=randcca(x,y,k,1)