Abstract: Suppose that data on, where
is a
vector and
is
vector, are collected from
independent but closely related populations, and that one is interested in measuring the amount of relationship between sets of variables
and
within each population. Goria and Flury (1996) argued that in these situations it is more meaningful to construct common canonical variates that are identical across populations, while the canonical correlations themselves may vary. Here we construct common information canonical variates based on Kullback-Leibler information. The proposed method does not require specific distributional assumptions and is useful in measuring true relations, whether linear or nonlinear. Simulations and dataset examples are presented. We also contrast our findings, in some instances, with those of Goria and Flury (1996).
Key words and phrases: Common information canonical variates, kernel density estimators, sequential permutation test.