A learning algorithm for adaptive canonical correlation analysis of several data sets.

Canonical correlation analysis (CCA) is a classical tool in statistical analysis to find the projections that maximize the correlation between two data sets. In this work we propose a generalization of CCA to several data sets, which is shown to be equivalent to the classical maximum variance (MAXVAR) generalization proposed by Kettenring. The reformulation of this generalization as a set of coupled least squares regression problems is exploited to develop a neural structure for CCA. In particular, the proposed CCA model is a two layer feedforward neural network with lateral connections in the output layer to achieve the simultaneous extraction of all the CCA eigenvectors through deflation. The CCA neural model is trained using a recursive least squares (RLS) algorithm. Finally, the convergence of the proposed learning rule is proved by means of stochastic approximation techniques and their performance is analyzed through simulations.