Feature Selection using Canonical Analysis

Canonical Correlation is a procedure for assessing the relationship between variables. Specifically, this analysis allows us to investigate the relationship between two sets of variables.

For regression function { f(X) = AX}. Each group projects its distribution onto the lines, for each projection, we can obtain variances in the group and between groups. The idea is to minimize the variance (SSi) within the groups and maximize the variance between groups(SSb), i.e. Max SSb/SSi.