¥To find relationships between two groups of variables,
find pairs of linear functions of
variables, one from each group, that have maximum
correlation, subject to being uncorrelated
with previously found pairs
¥Turns out to be another eigenvalue problem, involving covariance matrices between (Sxy)
and within (Sxx, Syy) groups of variables
¥Solve SxySyy-1Syxakx=lkSxxakx (akx = vector of loadings for x variables – similar equation for y variables)