COMPUTATION OF CANONICAL CORRELATION BETWEEN PAST AND FUTURE OF A TIME SERIES Academic Article

abstract

• 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 finitedimensional algorithm for computing canonical correlations and components of a time series. An upper bound is conjectured for the largest canonical correlation. Copyright 1992, Wiley Blackwell. All rights reserved

authors

• Pourahmadi, Mohsen

published proceedings

• Journal of Time Series Analysis

author list (cited authors)

• Pourahmadi, M., & Miamee, A. G.

citation count

• 2

complete list of authors

• Pourahmadi, Mohsen||Miamee, AG

publication date

• July 1992

publisher

• Wiley  Publisher

published in

• Journal of Time Series Analysis  Journal

Digital Object Identifier (DOI)

• 10.1111/j.1467-9892.1992.tb00112.x

start page

• 345

end page

• 351

volume

• 13

issue

• 4

URL

• http%3A%2F%2Fdx.doi.org%2F10.1111%2Fj.1467-9892.1992.tb00112.x