[R] canonical correlations on multiple sets

[Tsjerk Wassenaar]

Hi!

I was wondering whether anybody could help me with canonical
correlation on multiple sets (3 or 4) of variates, e.g. using one of
the methods suggested by Kettenring (Biometrika 58(3):433, 1971),
starting from covariance or correlation matrices.

If someone could point me to an efficient way to achieve this or maybe
share a method, I would be forever grateful.

Some additional information on the data:

Submatrices of covariance matrix S: S11, S12, S13, (S14, ) S22, S23,
(S24, ) S33 (, S34, S44), with dim(S) = p + q + q or p + p + q + q

I would like to retrieve the canonical correlates and the canonical
variates for all sets.

Thanks in advance,

Tsjerk