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

DOI10.1214/aos/1176346251zbMath0524.62096OpenAlexW2016483245MaRDI QIDQ584883

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

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

spectrumboundsARMAcanonical 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) Inference from stochastic processes and spectral analysis (62M15) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Prediction theory (aspects of stochastic processes) (60G25)

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