This python package implements the D-CCA method proposed in [1]. See example.py for details, with Python 3.5 or above.
D-CCA conducts the following decomposition:
Y_k = X_k + E_k = C_k + D_k + E_k for k=1,2
where C_1 and C_2 share the same latent factors, but D_1 and D_2 have uncorrelated latent factors.
Please cite the article [1] for this package, which is available here.
[1] Hai Shu, Xiao Wang & Hongtu Zhu (2018) D-CCA: A Decomposition-based Canonical Correlation Analysis for High-dimensional Datasets, Journal of the American Statistical Association, DOI: 10.1080/01621459.2018.1543599