Canonical Correlation and Whitening

Find the strongest association between two vector-valued measurements after whitening.

Experiment

You can verify how scaling and rotation affect the raw covariance but not the canonical correlations:

1. Select Separated for Spectrum.
2. Select 45 for Rotation degrees.
3. Observe the raw cross covariance zero zero is 0.5656854249492381.
4. Change First X scale to 2.
5. Note that the raw cross covariance zero zero doubles to 1.1313708498984762, but the first and second canonical correlations remain 0.8 and 0.2 respectively.

Try the interactive experiment: https://riano.app/module/canonical-correlation-whitening.