Functional partial canonical correlation

DOI10.3150/14-BEJ597zbMATH Open1359.62211arXiv1506.00414OpenAlexW3105101087MaRDI QIDQ2348735FDOQ2348735

Authors: Qing Huang, R. A. Renaut 

Publication date: 15 June 2015

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1506.00414

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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)

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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

Uses Software

• RKHS

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