Here I got a good answer in the case of two vectors. Now, using cca_zoo library multi-view CCA(MCCA) implementation I transform 3 variables and I need to calculate their correlation coefficients, is there any similar method to do so?
U = np.random.random_sample(500).reshape(100,5)
V = np.random.random_sample(500).reshape(100,5)
W = np.random.random_sample(500).reshape(100,5)
mcca = MCCA(n_components=1)
mcca.fit((U, V, W))
U_c, V_c, W_c = mcca.transform((U, V, W))
