Kernel Based Nonlinear Canonical Analysis and Time Reversibility.

We consider a kernel based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce a test procedure of the reversibility hypothesis. The method is applied to the analysis of stochastic differential equation from high frequency data on stock returns.

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Year of publication:	2000
Authors:	Darolles, S. ; Florens, J.-P. ; Gourieroux, C.
Subject:	REGRESSION ANALYSIS \| ECONOMETRICS \| STATISTICAL ANALYSIS

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Type of publication:	Book / Working Paper
Notes:	34 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C40 - Econometric and Statistical Methods: Special Topics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005640999