CCA: Get zero correlation probability...

CCA: Get zero correlation probability...

Get the probability that for the selected CCA object the chosen canonical correlation coefficient is different from zero.

Setting

Index: is the index of the canonical correlation coefficient that you want to test.

Algorithm

Wilks' statistic: the probability that coefficient ρ_index differs from zero is

probability = chiSquareQ (χ², ndf),

where the number of degrees of freedom parameter equals

ndf = (n_y - index +1)(n_x - index +1)

and the chi-squared parameter is

χ² = –(numberOfObservations - (n_y + n_x +3)/2) log (Λ_index),

In the formulas above the variables n_y and n_x are the dimensions of the dependent and the independent data sets whose canonical correlations have been obtained, and Wilks' lambda is:

Λ_index = Π_{i=index..min(ny,nx)} (1 – ρ_i²)