Distance correlation for stochastic processes

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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 languageEnglish
JournalProbability and Mathematical Statistics
Volume37
Issue number2
Pages (from-to)355-372
Number of pages18
ISSN0208-4147
DOIs
Publication statusPublished - 2017

    Research areas

  • Distance covariance, Empirical characteristic function, Stochastic process, Test of independence

ID: 194806653