[R] CPCA?

[Jari Oksanen]

Daniel Berner <daniel.berner <at> mail.mcgill.ca> writes:

> 
> It would be great to know if and where an R code for Common Principal
Component Analysis is available.

The only code I know is in IMSL Fortran library, and that is proprietary, and
that is expensive. After a quick look, it really appears that IMSL C library
does not have the code, but you got to go to Fortran. Look for function DKPRIN
(KPRIN). That code cannot be ported to R, naturally.

Another issue is that the code obviously was written by Bernhard Flury, and he
also has FORTRAN listing in his book "Commaon Principal Components and Related
Multivariate Models" (J. Wiley & Sons, 1988). I don't know of the licensing
status of that code. I didn't find any explicit licensing information in the
book (but may have overlooked something), apart from the usual book copyright
that forbids everything. I assume it is the same code that is the base of DKPRIN
in the IMSL FORTRAN library. Would mean a lot of typing at minimum, and for any
sensible code, editing the code to use LAPACK where ever possible.

Further, Flury descirbes the algorithm in his book, and it could be implemented
independently in R. I think nobody has done that (yet).

cheers, jari oksanen