The canonical correlations of matrix pairs and their numerical computation

Authors:
Gene H. Golub;Hongyuan Z ha
Affiliations:
-;-
Venue:
The canonical correlations of matrix pairs and their numerical computation
Year:
1992

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Abstract

This paper is concerned with the analysis of canonical correlations of matrix pairs and their numerical computation. We first develop a decomposition theorem for matrix pairs having the same number of rows which explicitly exhibits the canonical correlations. We then present a perturbation analysis of the canonical correlations, which compares favorably with the classical first order perturbation analysis. Then we propose several numerical algorithms for computing the canonical correlations of general matrix pairs; emphasis is placed on the case of large sparse or structured matrices.