CANCOR: RATS module to generate canonical correlations
cancor.src computes canonical correlations between two data sets. The first set has k1 variables and the second has k2 variables (1 < k1 <= k2). cormat is the correlation matrix for all the variables. cormat has k1+k2 rows and columns and must be computed in the program that invokes cancor.src. (typically cormat would be computed using the cmoment command with the option corr. in that case, cormat = %cmom.) cancor.src then calculates the linear combination of each set which maximizes the squared correlation between the sets. This process is repeated k1 times since there can be as many as k1 'canonical variates' linking the two data sets.
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