Canonical Correlation Calculator: run canonical correlation calculations online. Formula, assumptions, and interpretation guide.
r = Σ[(xᵢ − x̄)(yᵢ − ȳ)] / √[Σ(xᵢ − x̄)² × Σ(yᵢ − ȳ)²]
r² (coefficient of determination) = the proportion of variance in Y explained by X.
t-statistic for significance: t = r × √(n−2) / √(1−r²), with n−2 degrees of freedom.