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

Mohsen Pourahmadi and A. G. Miamee

Journal of Time Series Analysis, 1992, vol. 13, issue 4, 345-351

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 finite‐dimensional algorithm for computing canonical correlations and components of a time series. An upper bound is conjectured for the largest canonical correlation.

Date: 1992
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