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May 2015 Functional partial canonical correlation
Qing Huang, Rosemary Renaut
Bernoulli 21(2): 1047-1066 (May 2015). DOI: 10.3150/14-BEJ597

Abstract

A rigorous derivation is provided for canonical correlations and partial canonical correlations for certain Hilbert space indexed stochastic processes. The formulation relies on a key congruence mapping between the space spanned by a second order, $\mathcal{H}$-valued, process and a particular Hilbert function space deriving from the process’ covariance operator. The main results are obtained via an application of methodology for constructing orthogonal direct sums from algebraic direct sums of closed subspaces.

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Qing Huang. Rosemary Renaut. "Functional partial canonical correlation." Bernoulli 21 (2) 1047 - 1066, May 2015. https://doi.org/10.3150/14-BEJ597

Information

Published: May 2015
First available in Project Euclid: 21 April 2015

zbMATH: 1359.62211
MathSciNet: MR3338656
Digital Object Identifier: 10.3150/14-BEJ597

Rights: Copyright © 2015 Bernoulli Society for Mathematical Statistics and Probability

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Vol.21 • No. 2 • May 2015
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