Given X (size k*m) and Y (k*n), returns projection matrices of canonical coefficients A (size m*d, where d is the smallest of m, n, d) and B (size m*d); the canonical correlations r (1*d, arranged in decreasing order); the canonical variables U, V (both k*d, with orthonormal columns); and stats, a structure containing results from Bartlett’s chi-square and Rao’s F tests of significance.

See also: princomp

Source Code: canoncorr