Canonical correlations of past and future for time series: Bounds and computation

DOI10.1214/AOS/1176346251zbMath0524.62096OpenAlexW2016483245MaRDI QIDQ584883

Flavio C. Bartmann, Nicholas P. Jewell, Peter Bloomfield

Publication date: 1983

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176346251

zbMATH Keywords

spectrumboundsARMAcanonical componentscanonical correlations of past and futurecomputational schemestationary Gaussian time seriessunspot number series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Inference from stochastic processes and spectral analysis (62M15) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (9)

Canonical analysis relative to a closed subspace ⋮ ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING ⋮ Canonical analysis of two Euclidean subspaces and its applications ⋮ State-space formulae for the factorization of all-pass matrix functions ⋮ Szegő's theorem and its probabilistic descendants ⋮ Measures of association for Hilbertian subspaces and some applications ⋮ STATIONARY PROCESSES WITH A FINITE NUMBER OF NON‐ZERO CANONICAL CORRELATIONS BETWEEN FUTURE AND PAST ⋮ Optimal angle reduction -- a behavioral approach to linear system approximation ⋮ Canonical correlations of past inputs and future outputs for linear stochastic systems

This page was built for publication: Canonical correlations of past and future for time series: Bounds and computation