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We propose non-local analysis of functional magnetic resonance imaging (fMRI) data in order to detect more brain activity. Our non-local approach combines the ideas of regular fMRI analysis with those of functional connectivity analysis, and was inspired by the non-local means algorithm that commonly is used for image denoising. We extend canonical correlation analysis (CCA) based fMRI analysis to handle more than one activity area, such that information from different parts of the brain can be combined. Our non-local approach is compared to fMRI analysis by the general linear model (GLM) and local CCA, by using simulated as well as real data.