Electrical Engineering-Systems Dept.

סמינר מחלקתי

You are invited to attend a lecture by

Dr. Koby Todros

(University of Michigan Ann-Arbor, MI, USA)

on the subject:

On Measure Transformed Canonical Correlation Analysis

In this work linear canonical correlation analysis (LCCA) is generalized by applying a structured transform to the joint probability distribution of the considered pair of random vectors, i.e., a transformation of the joint probability measure defined on their joint observation space. This framework, called measure transformed canonical correlation analysis (MTCCA), applies LCCA to the data after transformation of the joint probability measure. We show that judicious choice of the transform leads to a modified canonical correlation analysis, which, in contrast to  LCCA, is capable of detecting non-linear relationships between the considered pair of random vectors. Unlike kernel canonical correlation analysis, where the transformation is applied to the random vectors, in MTCCA the transformation is applied to their joint probability distribution. This results in performance advantages and reduced implementation complexity.

The proposed approach is illustrated for graphical model selection in simulated data having non-linear dependencies, and for measuring long-term associations between companies traded in the NASDAQ and NYSE stock markets.