Correlated Component Analysis

This is matlab code to perform Correlated Component Analysis as described in Parra, Haufe, Dmonchowski (2019), "Correlated Components Analysis --- Extracting Reliable Dimensions in Multivariate Data", Neurons, Behavior, Data Analysis and Theory (NBDT). Jan 29, 2019.. -- matlab code (159 kB)

To generate all figures of the paper, you will also have to download the associated data: -- all data (510MB)

Python implementation of the main functions (no warranties, but seems to work :-)

GitHub -- python code