[ncl-talk] Canonical Correlation Analysis via Barnett and Preisendorfer (BPCCA)

[Xiaoning Wu]

Hello,

On a statistical application of NCL -  has anyone tried coding up a script
to perform the Barnett and Preisendorfer approach of Canonical Correlation
Analysis (BPCCA) between two datasets?

Compared to the built-in “cancor” (which fails often), the trick with BPCCA
is to  decompose the data with PCA/EOF first, and the subsequent linear
algebra would involve the dominant modes only, thus bypassing direct
inversion of the original (large) matrices which is presumably where the
classical approach usually gets stuck. The method looks pretty manageable,
with existing matlab scripts to refer to, but I'm trying to avoid
reinventing the wheel here assuming it must have been done before in NCL.
Any thoughts would be very much appreciated!

Thank you for your time. Have a great week!

Best regards,
Xiaoning
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