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Activity Number: 97 - New Methods for Structured Variable Selection
Type: Topic Contributed
Date/Time: Monday, August 8, 2022 : 8:30 AM to 10:20 AM
Sponsor: SSC (Statistical Society of Canada)
Abstract #322545
Title: Canonical Correlation Analysis in High Dimensions with Structured Regularization
Author(s): Elena Tuzhilina* and Leonardo Tozzi and Trevor Hastie
Companies: Stanford University and Stanford University and Stanford University
Keywords: Canonical Correlation Analysis; Group regularization; Kernel trick

Canonical correlation analysis (CCA) is a technique for measuring the association between two multivariate data matrices. A regularized modification of canonical correlation analysis (RCCA) which imposes an L2-penalty on the CCA coefficients is widely used in applications with high-dimensional data. One limitation of such regularization is that it ignores any data structure, treating all the features equally, which can be ill-suited for some applications. In this talk, we introduce several approaches to regularizing CCA that take the underlying data structure into account. In particular, the proposed group regularized canonical correlation analysis (GRCCA) is useful when the variables are correlated in groups. We illustrate some computational strategies to avoid excessive computations with regularized CCA in high dimensions. We demonstrate the application of these methods in a motivating application from neuroscience.

Authors who are presenting talks have a * after their name.

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