D-CCA: A Decomposition-Based Canonical Correlation Analysis for High-Dimensional Datasets

ABSTRACTA typical approach to the joint analysis of two high-dimensional datasets is to decompose each data matrix into three parts: a low-rank common matrix that captures the shared information across datasets, a low-rank distinctive matrix that characterizes the individual information within a single dataset, and an additive noise matrix. Existing decomposition methods often focus on the orthogonality between the common and distinctive matrices, but inadequately consider the more necessary orthogonal relationship between the two distinctive matrices. The latter guarantees that no more shared information is extractable from the distinctive matrices. We propose decomposition-based canonical correlation analysis (D-CCA), a novel decomposition method that defines the common and distinctive matrices from the l2 space of random variables rather than the conventionally used Euclidean space, with a careful construction of the orthogonal relationship between distinctive matrices. D-CCA represents a natural gener...