Canonical Correlation for Stochastic Processes

@inproceedings{Eubank2007CanonicalCF,
  title={Canonical Correlation for Stochastic Processes},
  author={Randall Eubank and Tailen Hsing},
  year={2007}
}
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… CONTINUE READING
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