Enriched biplots for canonical correlation analysis

Jan Graffelman

Journal of Applied Statistics, 2005, vol. 32, issue 2, 173-188

Abstract: This paper discusses biplots of the between-set correlation matrix obtained by canonical correlation analysis. It is shown that these biplots can be enriched with the representation of the cases of the original data matrices. A representation of the cases that is optimal in the generalized least squares sense is obtained by the superposition of a scatterplot of the canonical variates on the biplot of the between-set correlation matrix. Goodness of fit statistics for all correlation and data matrices involved in canonical correlation analysis are discussed. It is shown that adequacy and redundancy coefficients are in fact statistics that express the goodness of fit of the original data matrices in the biplot. The within-set correlation matrix that is represented in standard coordinates always has a better goodness of fit than the within-set correlation matrix that is represented in principal coordinates. Given certain scalings, the scalar products between variable vectors approximate correlations better than the cosines of angles between variable vectors. Several data sets are used to illustrate the results.

Keywords: Canonical weights; canonical loadings; supplementary variables; generalized least squares; goodness of fit (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1080/02664760500054202

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