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Canonical correlation analysis (CCA) is a technique for measuring the association between two multivariate data matrices. A regularized modification of canonical correlation analysis (RCCA) which imposes an $\ell_2$ penalty on the CCA coefficients is widely used in applications with high-dimensional data. One limitation of such regularization is that it ignores any data structure, treating all the features equally, which can be ill-suited for some applications. In this paper we introduce several approaches to regularizing CCA that take the underlying data structure into account. In particular, the proposed group regularized canonical correlation analysis (GRCCA) is useful when the variables are correlated in groups. We illustrate some computational strategies to avoid excessive computations with regularized CCA in high dimensions. We demonstrate the application of these methods in our motivating application from neuroscience, as well as in a small simulation example.

Brain connectomics is a developing field in neurosciences which strives to understand cognitive processes and psychiatric diseases through the analysis of interactions between brain regions. However, in the high-dimensional, low-sample, and noisy regimes that typically characterize fMRI data, the recovery of such interactions remains an ongoing challenge: how can we discover patterns of co-activity between brain regions that could then be associated to cognitive processes or psychiatric disorders? In this paper, we investigate a constrained Bayesian ICA approach which, in comparison to current methods, simultaneously allows (a) the flexible integration of multiple sources of information (fMRI, DWI, anatomical, etc.), (b) an automatic and parameter-free selection of the appropriate sparsity level and number of connected submodules and (c) the provision of estimates on the uncertainty of the recovered interactions. Our experiments, both on synthetic and real-life data, validate the flexibility of our method and highlight the benefits of integrating anatomical information for connectome inference.