Hello all, I am performing regularized CCA and I have noticed a difference in the correlation between the scores and the correlation values returned by the function output (often somewhat small).
If CANCOR_object is created by running CCA::rcc(X,Y,.1,.2) then:
CANCOR_object$cor is not equal to:
My understanding of CCA is that the canonical correlation is the Pearson correlation between the scores for X and Y. Could you help explain this discrepancy? Thank you all.