This paper continues an investigation into the canonical correlations and canonical components of the past and future of a stationary Gaussian time series which were introduced in Jewell and Bloomfield (1983). Bounds for the maximum canonical correlation are provided under specified conditions on the spectrum of the series. A computational scheme is described for estimating the canonical correlations and components and the procedure is illustrated on the well-known sunspot number series.
Publié le : 1983-09-14
Classification:
Time series,
spectrum,
prediction,
canonical correlations,
ARMA,
62M15,
60G25,
47B35
@article{1176346251,
author = {Jewell, Nicholas P. and Bloomfield, Peter and Bartmann, Flavio C.},
title = {Canonical Correlations of Past and Future for Time Series: Bounds and Computation},
journal = {Ann. Statist.},
volume = {11},
number = {1},
year = {1983},
pages = { 848-855},
language = {en},
url = {http://dml.mathdoc.fr/item/1176346251}
}
Jewell, Nicholas P.; Bloomfield, Peter; Bartmann, Flavio C. Canonical Correlations of Past and Future for Time Series: Bounds and Computation. Ann. Statist., Tome 11 (1983) no. 1, pp. 848-855. http://gdmltest.u-ga.fr/item/1176346251/