Joint and cross covariance matrices detect shared signals earlier than self-covariances in undersampled high-dimensional data, with the better choice depending on dimensionality mismatch between the variables.
Hotelling, Analysis of a complex of statistical vari- ables into principal components., Journal of Educational Psychology 24, 498 (1933)
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Better Together: Cross and Joint Covariances Enhance Signal Detectability in Undersampled Data
Joint and cross covariance matrices detect shared signals earlier than self-covariances in undersampled high-dimensional data, with the better choice depending on dimensionality mismatch between the variables.