Corpus ID: 999199

Sparse CCA via Precision Adjusted Iterative Thresholding

@article{Chen2013SparseCV,
  title={Sparse CCA via Precision Adjusted Iterative Thresholding},
  author={Mengjie Chen and Chao Gao and Zhao Ren and Harrison H. Zhou},
  journal={arXiv: Statistics Theory},
  year={2013}
}
Sparse Canonical Correlation Analysis (CCA) has received considerable attention in high-dimensional data analysis to study the relationship between two sets of random variables. However, there has been remarkably little theoretical statistical foundation on sparse CCA in high-dimensional settings despite active methodological and applied research activities. In this paper, we introduce an elementary sufficient and necessary characterization such that the solution of CCA is indeed sparse… Expand

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