This repository contains MATLAB implementations of 'Generalised Ridge Canonical Correlation Analysis'(1) and 'Generalised Sparse Canonical Correlation Analysis' methods (2). Please see the cited publications for more details on these methods. The authors originally made these procedures available in R, and a detailed vignette (relating to their R implementation) on how to run these methods can also be found here: https://cran.r-project.org/web/packages/RGCCA/vignettes/vignette_RGCCA.pdf.
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Tenenhaus, Arthur, and Michel Tenenhaus. 2011. “Regularized Generalized Canonical Correlation Analysis.” Psychometrika. https://doi.org/10.1007/s11336-011-9206-8.
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Tenenhaus, Arthur, Cathy Philippe, Vincent Guillemot, Kim-Anh Le Cao, Jacques Grill, and Vincent Frouin. 2014. “Variable Selection for Generalized Canonical Correlation Analysis.” Biostatistics 15 (3): 569–83.