Explained covariance?


This may reflect my lack of understanding of PLS, but the explained_variance attribute gives the percent variance explained by each component for X and for Y. Is there a way to find the percent covariance between X and Y explained by each component?


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hi @user2842,

The easiest way would be to simply calculate the sample covariance(object$variates$X[,1], object$variates$Y[,1]) for example for component 1,=.

To get the total covariance explained: Rd(X, Y) = Rd(X, object$variates$Y), and Rd(Y,X) = Rd(Y, object$variates$X) but that assumes you have calculated all possible dimensions. At this stage I can’t really comment on whether this is possible. Let me know if you find a better answer.