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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- Darolles, Serge & Gourieroux, Christian, 2001.
"Truncated dynamics and estimation of diffusion equations,"
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