Distance correlation for stochastic processes
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- Distance covariance for stochastic processes
Final published version, 152 KB, PDF document
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 analog 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.
Original language | English |
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Journal | Probability and Mathematical Statistics |
Volume | 37 |
Issue number | 2 |
Pages (from-to) | 355-372 |
Number of pages | 18 |
ISSN | 0208-4147 |
DOIs | |
Publication status | Published - 2017 |
- Distance covariance, Empirical characteristic function, Stochastic process, Test of independence
Research areas
ID: 194806653