The Annals of Statistics
- Ann. Statist.
- Volume 11, Number 3 (1983), 848-855.
Canonical Correlations of Past and Future for Time Series: Bounds and Computation
This paper continues an investigation into the canonical correlations and canonical components of the past and future of a stationary Gaussian time series which were introduced in Jewell and Bloomfield (1983). Bounds for the maximum canonical correlation are provided under specified conditions on the spectrum of the series. A computational scheme is described for estimating the canonical correlations and components and the procedure is illustrated on the well-known sunspot number series.
Ann. Statist., Volume 11, Number 3 (1983), 848-855.
First available in Project Euclid: 12 April 2007
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M15: Spectral analysis
Secondary: 60G25: Prediction theory [See also 62M20] 47B35: Toeplitz operators, Hankel operators, Wiener-Hopf operators [See also 45P05, 47G10 for other integral operators; see also 32A25, 32M15]
Jewell, Nicholas P.; Bloomfield, Peter; Bartmann, Flavio C. Canonical Correlations of Past and Future for Time Series: Bounds and Computation. Ann. Statist. 11 (1983), no. 3, 848--855. doi:10.1214/aos/1176346251. https://projecteuclid.org/euclid.aos/1176346251