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stat.ME2020
Eigenvector-based sparse canonical correlation analysis: Fast computation for estimation of multiple canonical vectors
Wenjia Wang, Yi-Hui Zhou
Classical canonical correlation analysis (CCA) requires matrices to be low dimensional, i.e. the number of features cannot exceed the sample size. Recent developments in CCA have m…
stat.ME2019
A Double Penalty Model for Interpretability
Wenjia Wang, Yi-Hui Zhou
Modern statistical learning techniques have often emphasized prediction performance over interpretability, giving rise to "black box" models that may be difficult to understand, an…