¥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)