Canonical correlations of past and future for time series: Bounds and computation
DOI10.1214/AOS/1176346251zbMATH Open0524.62096OpenAlexW2016483245MaRDI QIDQ584883FDOQ584883
Authors: Nicholas P. Jewell, Peter Bloomfield, Flavio C. Bartmann 
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
ARMAboundsspectrumcanonical componentscanonical correlations of past and futurecomputational schemestationary Gaussian time seriessunspot number series
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Prediction theory (aspects of stochastic processes) (60G25) Inference from stochastic processes and spectral analysis (62M15) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35)
Cited In (9)
- Canonical analysis relative to a closed subspace
- STATIONARY PROCESSES WITH A FINITE NUMBER OF NON‐ZERO CANONICAL CORRELATIONS BETWEEN FUTURE AND PAST
- Measures of association for Hilbertian subspaces and some applications
- Optimal angle reduction -- a behavioral approach to linear system approximation
- State-space formulae for the factorization of all-pass matrix functions
- Canonical analysis of two Euclidean subspaces and its applications
- Canonical correlations of past inputs and future outputs for linear stochastic systems
- ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
- Szegő's theorem and its probabilistic descendants
This page was built for publication: Canonical correlations of past and future for time series: Bounds and computation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q584883)
