Canonical correlations of past and future for time series: Definitions and theory
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Publication:1054430
DOI10.1214/aos/1176346250zbMath0519.62084OpenAlexW1976367085MaRDI QIDQ1054430
Peter Bloomfield, Nicholas P. Jewell
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/1176346250
time seriesHankel matrixstrong mixingARMA representationabsolute regularitycanonical correlations of past and futurerational spectraweakly stationary processbest prediction
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10)
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