Kernel Based Nonlinear Canonical Analysis

S. Darolles, Jean-Pierre Florens and Christian S. Gourieroux

Working Papers from Toulouse - GREMAQ

Abstract: We consider a kernel based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce various diagnostics for reversible processes and gaussian processes. The method is first applied to a stimulated series satisfying a diffusion equation allowing us to estimate nonparametrically the drift and volatility functions. The second application involves high frequency data on stock returns.

Keywords: ECONOMETRICS; REGRESSION ANALYSIS; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: C14 C15 C22 (search for similar items in EconPapers)
Date: 1999

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Working Paper: Kernel Based Nonlinear Canonical Analysis (2001)
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Persistent link: http://EconPapers.repec.org/RePEc:fth:gremaq:99.514

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