Sparse canonical correlation analysis with application to genomic data integration.

Large scale genomic studies with multiple phenotypic or genotypic measures may require the identification of complex multivariate relationships. In multivariate analysis a common way to inspect the relationship between two sets of variables based on their correlation is canonical correlation analysis, which determines linear combinations of all variables of each type with maximal correlation between the two linear combinations. However, in high dimensional data analysis, when the number of variables under consideration exceeds tens of thousands, linear combinations of the entire sets of features may lack biological plausibility and interpretability.