Functional partial canonical correlation

DOI10.3150/14-BEJ597MaRDI QIDQ2348735zbMATH OpenOpenAlexFDO

Authors Qing Huang, R. A. Renaut

Publication date 15 June 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.00414, https://projecteuclid.org/euclid.bj/1429624970

zbMATH Keywords

canonical correlationscovariance operatorindexed stochastic processesscore matrices

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Probability theory on linear topological spaces (60B11) General theory of stochastic processes (60G07)

Abstract: A rigorous derivation is provided for canonical correlations and partial canonical correlations for certain Hilbert space indexed stochastic processes. The formulation relies on a key congruence mapping between the space spanned by a second order, $mathcalH$-valued, process and a particular Hilbert function space deriving from the process' covariance operator. The main results are obtained via an application of methodology for constructing orthogonal direct sums from algebraic direct sums of closed subspaces.

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Cited in

(6)

• Some properties of canonical correlations and variates in infinite dimensions
• Canonical correlation for stochastic processes
• A note on the cross-covariance operator and on congruence relations for Hilbert space valued stochastic processes
• Efficient estimation of regularization parameters via downsampling and the singular value expansion, downsampling regularization parameter estimation
• Some asymptotic properties for functional canonical correlation analysis
• Functional multiple-set canonical correlation analysis

Describes a project that uses

Uses Software

• RKHS

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