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Kernel-based nonlinear canonical analysis and time reversibility
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DOI：10.1016/S0304-4076(03)00199-4.png)
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Abstract
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We consider a kernel-bascd 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. (C) 2003 Published by Elsevier B.V.
Keywords:
nonlinear canonical analysis
kernel estimators
reversibility hypothesis
diffusion equations
high-frequency data
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