Lamda1 and 2 in rcc function

1

If n > p + q, should I just set lambda1=0, lambda2=0?

also, does the method = "ridge" means the regularization is similar to that used in ridge regression?

Thanks!

2

Hi @blueskypie,

Yes, if n > p+q you can use a classical CCA and that would be the same as setting the lambda parameters to 0.

Ridge penalties are indeed similar to those used in ridge regression, see details in: https://www.jstatsoft.org/article/view/v023i12