[R] Cancor

Irena Komprej irena.komprej at telemach.net
Sat Sep 11 11:18:39 CEST 2004

Dear R's!
I am strugling with cancor procedure in R. I cannot figure out the
meaning of xcoef and of yxcoef.
Are these:
1. standardized coefficients
2. structural coefficients
3. something else?

I have tried to simulate canonical correlation analysis by checking the
eigenstructure of the expression:

Sigma_xx %*% Sigma_xy %*% Sigma_yy %*% t(Sigma_xy).

The resulting eigenvalues were the same as the squared values of
cancor$cor. I have normalized the resulting eigenvectors, the a's with

sqrt(a'%*%Sigma_xx%*%t(a)), and similarly the b's with

The results differed considerably from xcoef and ycoef of the cancor.

I thought then, maybe these coefficients are structural coefficients and
therefore I multiplied them, the a's with
a%*%Sigma_xx, and the b's with

but the results are nevertheless far from those of the cancor. Now, I
really don't know any more, how to interpret the xcoef and ycoef.
I am thanking you in advance.

Irena Komprej
(an R enthusiast as of last year)

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