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

DOI10.1214/AOS/1176346251MaRDI QIDQ584883zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ARMAboundsspectrumcanonical 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) 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
• Szegő's theorem and its probabilistic descendants
• STATIONARY PROCESSES WITH A FINITE NUMBER OF NON‐ZERO CANONICAL CORRELATIONS BETWEEN FUTURE AND PAST
• 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
• Optimal angle reduction -- a behavioral approach to linear system approximation
• Measures of association for Hilbertian subspaces and some applications

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)