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RV Coefficient

The RV coefficient is a multivariate generalization of the Pearson correlation coefficient that measures the closeness of two sets of points represented in matrices. It takes values between 0 and 1. Several statistical methodologies can be analyzed using the RV coefficient, including principal component analysis and canonical correlation analysis. An adjusted version of the RV coefficient was proposed to address issues with the original coefficient not often attaining values close to 1.

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RV Coefficient

The RV coefficient is a multivariate generalization of the Pearson correlation coefficient that measures the closeness of two sets of points represented in matrices. It takes values between 0 and 1. Several statistical methodologies can be analyzed using the RV coefficient, including principal component analysis and canonical correlation analysis. An adjusted version of the RV coefficient was proposed to address issues with the original coefficient not often attaining values close to 1.

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RV coefficient

In statistics, the RV coefficient[1] is a multivariate generalization of the squared Pearson correlation


coefficient (because the RV coefficient takes values between 0 and 1).[2] It measures the closeness of two
set of points that may each be represented in a matrix.

The major approaches within statistical multivariate data analysis can all be brought into a common
framework in which the RV coefficient is maximised subject to relevant constraints. Specifically, these
statistical methodologies include:[1]

principal component analysis


canonical correlation analysis
multivariate regression
statistical classification (linear discrimination).

One application of the RV coefficient is in functional neuroimaging where it can measure the similarity
between two subjects' series of brain scans[3] or between different scans of a same subject.[4]

Definitions
The definition of the RV-coefficient makes use of ideas[5] concerning the definition of scalar-valued
quantities which are called the "variance" and "covariance" of vector-valued random variables. Note that
standard usage is to have matrices for the variances and covariances of vector random variables. Given
these innovative definitions, the RV-coefficient is then just the correlation coefficient defined in the usual
way.

Suppose that X and Y are matrices of centered random vectors (column vectors) with covariance matrix
given by

then the scalar-valued covariance (denoted by COVV) is defined by[5]

The scalar-valued variance is defined correspondingly:

With these definitions, the variance and covariance have certain additive properties in relation to the
formation of new vector quantities by extending an existing vector with the elements of another.[5]

Then the RV-coefficient is defined by[5]


Shortcoming of the coefficient and adjusted version
Even though the coefficient takes values between 0 and 1 by construction, it seldom attains values close to
1 as the denominator is often too large with respect to the maximal attainable value of the denominator.[6]

Given known diagonal blocks and of dimensions and respectively, assuming that
without loss of generality, it has been proved [7] that the maximal attainable numerator is
where (resp. ) denotes the diagonal matrix of the eigenvalues of (resp. )
sorted decreasingly from the upper leftmost corner to the lower rightmost corner and is the matrix
.

In light of this, Mordant and Segers[7] proposed an adjusted version of the RV coefficient in which the
denominator is the maximal value attainable by the numerator. It reads

The impact of this adjustment is clearly visible in practice.[7]

See also
Congruence coefficient
Distance correlation

References
1. Robert, P.; Escoufier, Y. (1976). "A Unifying Tool for Linear Multivariate Statistical Methods:
The RV-Coefficient". Applied Statistics. 25 (3): 257–265. doi:10.2307/2347233 (https://doi.or
g/10.2307%2F2347233). JSTOR 2347233 (https://www.jstor.org/stable/2347233).
2. Abdi, Hervé (2007). Salkind, Neil J (ed.). RV coefficient and congruence coefficient.
Thousand Oaks. ISBN 978-1-4129-1611-0.
3. Ferath Kherif; Jean-Baptiste Poline; Sébastien Mériaux; Habib Banali; Guillaume Plandin;
Matthew Brett (2003). "Group analysis in functional neuroimaging: selecting subjects using
similarity measures" (https://hal-cea.archives-ouvertes.fr/cea-00371054/file/Kherifetal_Neuro
Image.pdf) (PDF). NeuroImage. 20 (4): 2197–2208. doi:10.1016/j.neuroimage.2003.08.018
(https://doi.org/10.1016%2Fj.neuroimage.2003.08.018). PMID 14683722 (https://pubmed.nc
bi.nlm.nih.gov/14683722).
4. Herve Abdi; Joseph P. Dunlop; Lynne J. Williams (2009). "How to compute reliability
estimates and display confidence and tolerance intervals for pattern classiffers using the
Bootstrap and 3-way multidimensional scaling (DISTATIS)". NeuroImage. 45 (1): 89–95.
doi:10.1016/j.neuroimage.2008.11.008 (https://doi.org/10.1016%2Fj.neuroimage.2008.11.00
8). PMID 19084072 (https://pubmed.ncbi.nlm.nih.gov/19084072).
5. Escoufier, Y. (1973). "Le Traitement des Variables Vectorielles". Biometrics. International
Biometric Society. 29 (4): 751–760. doi:10.2307/2529140 (https://doi.org/10.2307%2F25291
40). JSTOR 2529140 (https://www.jstor.org/stable/2529140).
6. Pucetti, G. (2019). "Measuring Linear Correlation Between Random Vectors" (https://dx.doi.o
rg/10.2139/ssrn.3116066s). SSRN.
7. Mordant Gilles; Segers Johan (2022). "Measuring dependence between random vectors via
optimal transport,". Journal of Multivariate Analysis. 189.

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