The CANCORR Procedure

Computational Resources

Subsections:

Notation

Let

\begin{eqnarray*} n & = & \mbox{number of observations} \\ v & = & \mbox{number of variables} \\ w & = & \mbox{number of WITH variables} \\ p & = & \max (v,w) \\ q & = & \min (v,w) \\ b & = & v + w \\ t & = & \mbox{total number of variables (VAR, WITH, and PARTIAL)} \\ \end{eqnarray*}

Time Requirements

The time required to compute the correlation matrix is roughly proportional to

\[ n(p+q)^2 \]

The time required for the canonical analysis is roughly proportional to

\[ \frac{1}{6}p^3 + p^2q + \frac{3}{2}pq^2 + 5q^3 \]

but the coefficient for $q^3$ varies depending on the number of QR iterations in the singular value decomposition.

Memory Requirements

The minimum memory required is approximately

\[ 4(v^2 + w^2 + t^2) \]

bytes. Additional memory is required if you request the VDEP or WDEP option.