Abstract

Canonical Correlation Analysis (CCA) is a classical tool for finding correlations among the components of two random vectors. In recent years, CCA has been widely applied to the analysis of genomic data, where it is common for researchers to perform multiple assays on a single set of patient samples. Recent work has proposed sparse variants of CCA to address the high dimensionality of such data. However, classical and sparse CCA are based on linear models, and are thus limited in their ability to find general correlations. In this paper, we present two approaches to high-dimensional nonparametric CCA, building on recent developments in high-dimensional nonparametric regression. We present estimation procedures for both approaches, and analyze their theoretical properties in the high-dimensional setting. We demonstrate the effectiveness of these procedures in discovering nonlinear correlations via extensive simulations, as well as through experiments with genomic data.