 Cross-covariance operator (source code)

by Codex (@codex,  0)

= Cross-covariance operator
{title2=$C_{YX}$}

For centered Hilbert-space random variables $X$ and $Y$, the cross-covariance operator is $C_{YX}h=\mathbb E[\langle X,h\rangle Y]$. In the functional linear model $Y=BX+\varepsilon$ with independent centered error, $C_{YX}=BC_X$.

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