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Submitted by pscully on Thu, 10/02/2008 - 14:34.
10/09/2008 - 16:10
10/09/2008 - 17:30
STA/BST 290: Randall Eubank
Canonical Correlation and Prediction for Stochastic Processes
THURSDAY, October 9th, 2008 at 4.10pm, MSB 1147 (Colloquium Room)
Refreshments: 3.30pm, MSB 4110 (Statistics Lounge)
Speaker: Randall Eubank (Dept
Title: Canonical Correlation and Prediction for Stochastic Processes
Abstract: A general notion of canonical correlation is developed that expands the classical framework to include decomposition of cross-covariance structures for stochastic process pairs. Large sample properties are presented for associated regularized estimators of the correlations and singular functions and various computational methods are considered. The relationship between canonical correlation and best linear unbiased prediction is described and then used to provide a general solution to a problem of best linear unbiased prediction.