Canonical correlation is a technique for analyzing the relationship between two sets of variables -each set can contain several variables.
Canonical correlation is a variation on the concept of multiple regression and correlation analysis.
In multiple regression and correlation, you examine the relationship between a linear combination of a set of X variables and a single Y variable. In canonical correlation analysis, you examine the relationship between a linear combination of the set of X variables with a linear combination of a set of Y variables. You can examine the linear regression of each variable on the opposite set of variables. A plot of each canonical variable against its counterpart in the other group is often useful, and you can use PROC PLOT with the output data set to produce these plots. A second output data set contains the canonical correlations, coefficients, and most other statistics computed by the procedure.