Measures of Association for Hilbertian Subspaces and Some Applications

Jacques Dauxois and Guy Martial Nkiet

Journal of Multivariate Analysis, 2002, vol. 82, issue 2, 263-298

Abstract: Measures of association are introduced for Hilbertian subspaces, that are defined by a few axioms and are shown to be symmetric nondecreasing functions of the canonical coefficients. When particular subspaces are considered, classical measures of association are obtained as particular cases. Moreover, the proposed framework allows one to introduce new approaches for measuring partial noncorrelation, partial independence and linear predictability of a stationary process.

Keywords: canonical; analysis; measure; of; association; symmetric; nondecreasing; function; invariance (search for similar items in EconPapers)
Date: 2002
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