Econometrica: Apr 1969, Volume 37, Issue 2
Some Relationships Derived from Canonical Correlation Theory
Harry R. GlahnCanonical correlation coefficients measure the correlation between linear combinations of two sets of variables. For some predictive purposes it is desirable to know to what extent the variance of each of the variables of one set or the other is explained by the individual canonical functions. Formulae for this purpose are presented and comments concerning Hooper's  trace correlation are made.
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