I am using the fit(CCA,...) function from the MultivariateStats.jl package and I want to know how to pull out the principal canonical vectors. The resulting CCA model object has methods like xprojection and yprojection which respectively give you the projection matrices that map the two random variables (the inputs X and Y ) into their common, correlation-maximizing subspace. But I don’t know how to simply extract the canonical vectors for each variable themselves, because I’m not familiar enough with the maths behind CCA/CVA to know how to compute them using the projection matrices and/or the ‘mean vectors’ (which is another provided method of the CCA object).
Just wondering if you ever worked out how to do this, or found good examples/documentation outside of the readthedocs page?