A Unified Approach to PCA, PLS, MLR and CCA

• This paper presents a novel algorithm for analysis of stochastic processes. The algorithm can be used to find the required solutions in the cases of principal component analysis (PCA), partial least squares (PLS), canonical correlation analysis (CCA) or multiple linear regression (MLR). The algorithm is iterative and sequential in its structure and uses on-line stochastic approximation to reach an equilibrium point. A quotient between two quadratic forms is used as an energy function and it is shown that the equilibrium points constitute solutions to the generalized eigenproblem.

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