View cca_predict.py
import numpy as np | |
from scipy.linalg import eigh | |
def cca_predict(X, Y, X_new, kx, ky, whitening=False): | |
""" | |
Canonical correlation analysis and prediction | |
Python version of the original R function at: https://github.com/jmhewitt/telefit/blob/master/R/cca.predict.R | |
:param X: training samples of the predictor with shape M1 x N (M1 variables, N observations) | |
:param Y: training samples of the predictand with shape M2 x N (M2 variables, N observations) | |
:param X_new: test samples of the predictor |