Distance covariance for random fields

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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.

OriginalsprogEngelsk
TidsskriftStochastic Processes and Their Applications
Vol/bind150
Sider (fra-til)280-322
Antal sider43
ISSN0304-4149
DOI
StatusUdgivet - 2022

Bibliografisk note

Funding Information:
Muneya Matsui’s research is partly supported by the JSPS Grant-in-Aid, Japan for Scientific Research C ( 19K11868 ) and Nanzan University Pache Research Subsidy I-A-2 for the 2022 academic year. Thomas Mikosch’s research is partially supported by Danmarks Frie Forskningsfond Grant No 9040-00086B

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© 2022 Elsevier B.V.

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