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September, 1983 Canonical Correlations of Past and Future for Time Series: Definitions and Theory
Nicholas P. Jewell, Peter Bloomfield
Ann. Statist. 11(3): 837-847 (September, 1983). DOI: 10.1214/aos/1176346250

Abstract

The concepts of canonical correlations and canonical components are familiar ideas in multivariate statistics. In this paper we extend these notions to stationary time series with a view to determining the most predictable aspect of the future of a time series. We relate properties of the canonical description of a time series to well known structural properties of the series such as (i) rational spectra (i.e., ARMA series), (ii) strong mixing, (iii) absolute regularity, etc.

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Nicholas P. Jewell. Peter Bloomfield. "Canonical Correlations of Past and Future for Time Series: Definitions and Theory." Ann. Statist. 11 (3) 837 - 847, September, 1983. https://doi.org/10.1214/aos/1176346250

Information

Published: September, 1983
First available in Project Euclid: 12 April 2007

zbMATH: 0519.62084
MathSciNet: MR707934
Digital Object Identifier: 10.1214/aos/1176346250

Subjects:
Primary: 62M15
Secondary: 47B35, 60G25

Rights: Copyright © 1983 Institute of Mathematical Statistics

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Vol.11 • No. 3 • September, 1983
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