STATIONARY PROCESSES WITH A FINITE NUMBER OF NON‐ZERO CANONICAL CORRELATIONS BETWEEN FUTURE AND PAST

K. L. Vaninskii and A. M. Yaglom

Journal of Time Series Analysis, 1990, vol. 11, issue 4, 361-375

Abstract: Abstract. The spectral densities f(γ) are determined for stationary random processes X(t) with continuous time which have the property that the number of non‐zero canonical correlations between the past X(t) (t≤ 0) (more accurately the present and the past) and the future X(t) (t≥θ) is finite (equal to N) at any θ≥τ for some r > 0. A method for finding all the corresponding canonical correlations P1, …, PN and the canonical variables X1‐, …, XN‐ and X1+, …, XN+ is given. Similar results related to processes X(t) with discrete (integral) time are briefly considered.

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1990.tb00064.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:11:y:1990:i:4:p:361-375

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().