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Minimax convergence rates for kernel CCA

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  • Fan, Zengyan
  • Lian, Heng

Abstract

Consistency of kernel canonical correlation analysis (kernel CCA) has been established while its optimal convergence rate remains unknown. In this paper we derive rigorous upper and lower bounds for the convergence rate of the weight functions in kernel CCA. In particular the optimal convergence rate is shown to only depend on the rate of decay of the eigenvalues of the covariance operators.

Suggested Citation

  • Fan, Zengyan & Lian, Heng, 2016. "Minimax convergence rates for kernel CCA," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 183-190.
    • Handle: RePEc:eee:jmvana:v:150:y:2016:i:c:p:183-190
    DOI: 10.1016/j.jmva.2016.05.008
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    References listed on IDEAS

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    1. He, Guozhong & Müller, Hans-Georg & Wang, Jane-Ling, 2003. "Functional canonical analysis for square integrable stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 85(1), pages 54-77, April.
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