[R] Model Comparison in Canonical Correlation Analysis

Christian Geng jedhoo at ymail.com
Mon Aug 25 18:53:12 CEST 2008

Dear R-users,

I have the following question:
I am currently performing Canonical Correlation analysis in two data sets
(of the same size: identical cases and identical variables.
The data in the second data set are actually a transformed version of the
data in the first data set.)
Now I want to compare the (first two) canonical correlations as well as
set correlation in these two data sets to
attain measures of comparable fit.

My question is whether there is an equivalent of the Fisher R to
z-transformation for multivariate data sets?
Or can the standard R-to-z transformation be applied directly?

Thanks a lot!

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