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Computation Of Canonical Correlation Between Past And Future Of A Time Series

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  • Mohsen Pourahmadi
  • A. G. Miamee

Abstract

. The canonical correlation between the past and future of a stationary time series is shown to be the limit of the canonical correlation between the infinite past and finite future, and computation of the latter is reduced to an eigenvalue problem invovling finite matrices. This provides a convenient finite‐dimensional algorithm for computing canonical correlations and components of a time series. An upper bound is conjectured for the largest canonical correlation.

Suggested Citation

  • Mohsen Pourahmadi & A. G. Miamee, 1992. "Computation Of Canonical Correlation Between Past And Future Of A Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(4), pages 345-351, July.
    • Handle: RePEc:bla:jtsera:v:13:y:1992:i:4:p:345-351
    DOI: 10.1111/j.1467-9892.1992.tb00112.x
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    Cited by:

    1. Dauxois, Jacques & Nkiet, Guy Martial, 2002. "Measures of Association for Hilbertian Subspaces and Some Applications," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 263-298, August.

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