Distance covariance for stochastic processes

TY - JOUR

T1 - Distance covariance for stochastic processes

AU - Matsui, Muneya

AU - Mikosch, Thomas Valentin

AU - Samorodnitsky, Gennady

PY - 2017

Y1 - 2017

N2 - 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.

AB - 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.

KW - Distance covariance

KW - Empirical characteristic function

KW - Stochastic process

KW - Test of independence

U2 - 10.19195/0208-4147.37.2.9

DO - 10.19195/0208-4147.37.2.9

M3 - Journal article

AN - SCOPUS:85039786736

SN - 0208-4147

VL - 37

SP - 355

EP - 372

JO - Probability and Mathematical Statistics

JF - Probability and Mathematical Statistics

IS - 2

ER -