Distance covariance for random fields

Institut for Matematiske Fag

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Standard

Distance covariance for random fields. / Matsui, Muneya; Mikosch, Thomas; Roozegar, Rasool; Tafakori, Laleh.

I: Stochastic Processes and Their Applications, Bind 150, 2022, s. 280-322.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Matsui, M, Mikosch, T, Roozegar, R & Tafakori, L 2022, 'Distance covariance for random fields', Stochastic Processes and Their Applications, bind 150, s. 280-322. https://doi.org/10.1016/j.spa.2022.04.009

APA

Matsui, M., Mikosch, T., Roozegar, R., & Tafakori, L. (2022). Distance covariance for random fields. Stochastic Processes and Their Applications, 150, 280-322. https://doi.org/10.1016/j.spa.2022.04.009

Vancouver

Matsui M, Mikosch T, Roozegar R, Tafakori L. Distance covariance for random fields. Stochastic Processes and Their Applications. 2022;150:280-322. https://doi.org/10.1016/j.spa.2022.04.009

Author

Matsui, Muneya ; Mikosch, Thomas ; Roozegar, Rasool ; Tafakori, Laleh. / Distance covariance for random fields. I: Stochastic Processes and Their Applications. 2022 ; Bind 150. s. 280-322.

Bibtex

@article{24736ce82e024a88aef39d6a1ccbbd43,

title = "Distance covariance for random fields",

abstract = "We study an independence test based on distance correlation for random fields (X,Y). We consider the situations when (X,Y) is observed on a lattice with equidistant grid sizes and when (X,Y) is observed at random locations. We provide asymptotic theory for the sample distance correlation in both situations and show bootstrap consistency. The latter fact allows one to build a test for independence of X and Y based on the considered discretizations of these fields. We illustrate the performance of the bootstrap test by simulations, and apply the test to Japanese meteorological data observed over the entire area of Japan.",

keywords = "Distance covariance, Empirical characteristic function, Independence test, Random field",

author = "Muneya Matsui and Thomas Mikosch and Rasool Roozegar and Laleh Tafakori",

note = "Publisher Copyright: {\textcopyright} 2022 Elsevier B.V.",

year = "2022",

doi = "10.1016/j.spa.2022.04.009",

language = "English",

volume = "150",

pages = "280--322",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier BV * North-Holland",

}

RIS

TY - JOUR

T1 - Distance covariance for random fields

AU - Matsui, Muneya

AU - Mikosch, Thomas

AU - Roozegar, Rasool

AU - Tafakori, Laleh

PY - 2022

Y1 - 2022

N2 - We study an independence test based on distance correlation for random fields (X,Y). We consider the situations when (X,Y) is observed on a lattice with equidistant grid sizes and when (X,Y) is observed at random locations. We provide asymptotic theory for the sample distance correlation in both situations and show bootstrap consistency. The latter fact allows one to build a test for independence of X and Y based on the considered discretizations of these fields. We illustrate the performance of the bootstrap test by simulations, and apply the test to Japanese meteorological data observed over the entire area of Japan.

AB - We study an independence test based on distance correlation for random fields (X,Y). We consider the situations when (X,Y) is observed on a lattice with equidistant grid sizes and when (X,Y) is observed at random locations. We provide asymptotic theory for the sample distance correlation in both situations and show bootstrap consistency. The latter fact allows one to build a test for independence of X and Y based on the considered discretizations of these fields. We illustrate the performance of the bootstrap test by simulations, and apply the test to Japanese meteorological data observed over the entire area of Japan.

KW - Distance covariance

KW - Empirical characteristic function

KW - Independence test

KW - Random field

U2 - 10.1016/j.spa.2022.04.009

DO - 10.1016/j.spa.2022.04.009

M3 - Journal article

AN - SCOPUS:85130192381

VL - 150

SP - 280

EP - 322

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

ER -

ID: 343580884