Canonical Correlation Analysis and Reduced Rank Regression in Autoregressive Models The Annals of Statistics , pp. 1134-1154 (21 pages) Published By: Institute of Mathematical Statistics ...

Jie Peng, Pei Wang, Nengfeng Zhou, Ji Zhu, Partial Correlation Estimation by Joint Sparse Regression Models, Journal of the American Statistical Association, Vol. 104, No. 486 (June 2009), pp. 735-746 ...

Correlation vs Regression: Both correlation and regression are two powerful tools of statistics and data analysis used to understand the relationships between variables.

Offers an alternative to Markowitz’s “Portfolio Selection”. Outlines the nuts and bolts of correlation between past and future performance, or between expected and actual returns. Explains ...