Unit canonical correlations between future and past

DOI10.1214/aos/1176350836zbMath0646.62082OpenAlexW2024942135MaRDI QIDQ1104009

E. J. Hannan, D. S. Poskitt

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350836

zbMATH Keywords

futureHardy spacesnumber of zerosHankel matrixcanonical correlationsMcMillan degreeKronecker indicespastautoregressive moving average processesfull rankn-dimensional stationary ARMA processstationary vector processunit correlations

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Prediction theory (aspects of stochastic processes) (60G25)

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