The Annals of Statistics

Canonical Correlations of Past and Future for Time Series: Bounds and Computation

Nicholas P. Jewell, Peter Bloomfield, and Flavio C. Bartmann

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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.

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Ann. Statist., Volume 11, Number 3 (1983), 848-855.

First available in Project Euclid: 12 April 2007

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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]

Time series spectrum prediction canonical correlations ARMA


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.

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