Functional canonical analysis for square integrable stochastic processes

Guozhong He, Hans-Georg Müller and Jane-Ling Wang

Journal of Multivariate Analysis, 2003, vol. 85, issue 1, 54-77

Abstract: We study the extension of canonical correlation from pairs of random vectors to the case where a data sample consists of pairs of square integrable stochastic processes. Basic questions concerning the definition and existence of functional canonical correlation are addressed and sufficient criteria for the existence of functional canonical correlation are presented. Various properties of functional canonical analysis are discussed. We consider a canonical decomposition, in which the original processes are approximated by means of their canonical components.

Keywords: Canonical; correlation; Canonical; decomposition; Covariance; operator; Functional; data; analysis; Hilbert-Schmidt; operator; Inverse; problem (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (30)

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