On the Regularization of Canonical Correlation Analysis
By elucidating a parallel between canonical correlation analysis (CCA) and least squares regression (LSR), we show how regularization of CCA can be performed and interpreted in the same spirit as the regularization applied in ridge regression (RR). Furthermore, the results presented may have an impact on the practical use of regularized CCA (RCCA). More specifically, a relevant cross validation cost function for training the regularization parameter, naturally follows from the derivations.