“…In PKPLS, the input sample matrix Φ ( X ) ∈ R D and output sample matrix Y ∈ R s are assumed to be generated from the latent variable t ∈ R k , which is described as follows: where matrices A ∈ R D × k and B ∈ R s × k denote the loading matrices for input and output, respectively; μ Φ ( X ) and μ Y denote the mean vectors of input and output, respectively; t denotes the latent variable vector subjecting to Gaussian distributions, ie, t ~N(0, I ); I denotes an identity matrix; and e Φ ( X ) and e Y are the noises contained in input and output, respectively, which are subject to Gaussian distributions, ie, e Φ ( X ) ~N(0, Ω Φ ( X ) ), and e Y ~N(0, Ω Y ), with and as the covariance matrices of input noise and output noise, respectively.…”