Efficient Canonical Correlation Analysis with Sparsity

Abstract: In high-dimensional settings, Canonical Correlation Analysis (CCA) often fails, and existing sparse methods force an untenable choice between computational speed and statistical rigor. This work introduces a fast and provably consistent sparse CCA algorithm (ECCAR) that resolves this trade-off. We formulate CCA as a high-dimensional reduced-rank regression problem, which allows us to derive consistent estimators with high-probability error bounds without relying on computationally expensive techniques like Fantope projections. The resulting algorithm is scalable, projection-free, and significantly faster than its competitors. We validate our method through extensive simulations and demonstrate its power to uncover reliable and interpretable associations in two complex biological datasets, as well as in an ML interpretability task. Our work makes sparse CCA a practical and trustworthy tool for large-scale multimodal data analysis. A companion R package has been made available.