We used the canonical correlation analysis of the multivariate statistics to study the interrelation between the gamma (Fluence, 1sec Peakflux, duration) and X-ray (early X flux, 24 hours X flux, X decay index, X spectral index, X HI column density) data. We computed the canonical correlations and variables showing that there is a significant interrelation between the gamma and X-ray data. Using the canonical variables resulted in the analysis we computed their correlations (canonical loadings) with the original ones. The canonical loadings revealed that the gamma-ray fluence and the early X-ray flux give the strongest contribution to the correlation in contrast to the X-ray decay index and spectral index. An interesting new result appears to be the strong contribution of the HI column density to the correlation. Accepting the collapsar model of long GRBs this effect may be interpreted as an indication for the ejection of an HI envelope by the progenitor in the course of producing the GRB.