Canonical Correlations Between Input and Output Processes of Linear Stochastic Models

Abstract

In this paper, we obtain expressions for the principal angles between the row spaces of input and output data block Hankel matrices of a linear stochastic model in terms of the model parameters. The canonical correlations of the corresponding processes are equal to the limiting values of the cosines of the principal angles. From these parametric expressions, the relations between the different sets of canonical correlations can be easily deduced.

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Cite this paper

@inproceedings{Cock2002CanonicalCB, title={Canonical Correlations Between Input and Output Processes of Linear Stochastic Models}, author={Katrien De Cock and Bart De Moor}, year={2002} }