The Canonical Correlations of Matrix Pairs and Their Numerical Computation

  title={The Canonical Correlations of Matrix Pairs and Their Numerical Computation},
  author={Hongyuan Zha},
This paper is concerned with the analysis of canonical correlations of matrix pairs and their numerical computation. We first develop a decomposition theorem for matrix pairs having the same number of rows which explicitly exhibits the canonical correlations. We then present a perturbation analysis of the canonical correlations, which compares favorably with the classical first order perturbation analysis. Then we propose several numerical algorithms for computing the canonical correlations of… CONTINUE READING
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