Distance covariance for stochastic processes

  1. Muneya Matsui
  2. Thomas Mikosch
  3. Gennady Samorodnitsky

Abstract

 

DISTANCE COVARIANCE FOR STOCHASTIC PROCESSES

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.

 

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Probability and Mathematical Statistics

37, z. 2, 2017

Pages from 355 to 372

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