Distance covariance for stochastic processes
Statistics Theory
2017-03-31 v1 Statistics Theory
Abstract
The distance covariance of two random vectors is a measure of their dependence. The empirical distance covariance and correlation can be used as statistical tools for testing whether two random vectors are independent. We propose an analogs of the distance covariance for two stochastic processes defined on some interval. Their empirical analogs can be used to test the independence of two processes.
Cite
@article{arxiv.1703.10283,
title = {Distance covariance for stochastic processes},
author = {Muneya Matsui and Thomas Mikosch and Gennady Samorodnitsky},
journal= {arXiv preprint arXiv:1703.10283},
year = {2017}
}
Comments
Contribution to T. Rolski special issue of Probability and Mathematical Statistics