CCAGFA: Bayesian canonical correlation analysis and group factor analysis

R package CCAGFA implements variational Bayesian solution for canonical correlation analysis, inter-battery factor analysis and group factor analysis. The package contains code for learning the model and some supporting functionality for interpretation.

The Bayesian CCA model as implemented here was originally presented by Virtanen et al. (2011), but a more comprehensive treatment is found in Klami et al. (2013). The latter also explains the BIBFA model. The GFA extends CCA to multiple data sources (or groups of variables), providing interpretable linear factorizations that describe variation shared by all possible subsets of sources. It was presented by Virtanen et al. (2012).

The code is available in CRAN at page