function?[Wx?Wy?r]?=?cca（XY）?
%?CCA?calculate?canonical?correlations?%?
%?[Wx?Wy?r]?=?cca（XY）?where?Wx?and?Wy?contains?the?canonical?correlation?
%?vectors?as?columns?and?r?is?a?vector?with?corresponding?canonical?
%?correlations.?The?correlations?are?sorted?in?descending?order.?X?and?Y?
%?are?matrices?where?each?column?is?a?sample.?Hence?X?and?Y?must?have?
%?the?same?number?of?columns.?%?
%?Example:?If?X?is?M*K?and?Y?is?N*K?there?are?L=MIN（MN）?solutions.?Wx?is?
%?then?M*L?Wy?is?N*L?and?r?is?L*1.?%?%?%??2000?Magnus?Borga?link鰌ings?universitet?
%?---?Calculate?covariance?matrices?---?
z?=?[X;Y];?
C?=?cov（z.‘）;?
sx?=?size（X1）;?
sy?=?size（Y1）;?
Cxx?=?C（1:sx?1:sx）?+?10^（-8）*eye（sx）;?
Cxy?=?C（1:sx?sx+1:sx+sy）;?
Cyx?=?Cxy‘;?
Cyy?=?C（sx+1:sx