Canonical correlation for stochastic processes

R.L. Eubank and Tailen Hsing

Stochastic Processes and their Applications, 2008, vol. 118, issue 9, 1634-1661

Abstract: A general notion of canonical correlation is developed that extends the classical multivariate concept to include function-valued random elements X and Y. The approach is based on the polar representation of a particular linear operator defined on reproducing kernel Hilbert spaces corresponding to the random functions X and Y. In this context, canonical correlations and variables are limits of finite-dimensional subproblems thereby providing a seamless transition between Hotelling's original development and infinite-dimensional settings. Several infinite-dimensional treatments of canonical correlations that have been proposed for specific problems are shown to be special cases of this general formulation. We also examine our notion of canonical correlation from a large sample perspective and show that the asymptotic behavior of estimators can be tied to that of estimators from standard, finite-dimensional, multivariate analysis.

Keywords: ACE; Functional; data; Reproducing; kernel; Hilbert; space; Time; series (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-4149(07)00178-0
Full text for ScienceDirect subscribers only

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:eee:spapps:v:118:y:2008:i:9:p:1634-1661

Ordering information: This journal article can be ordered from
http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Stochastic Processes and their Applications is currently edited by T. Mikosch

More articles in Stochastic Processes and their Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().