Distance covariance for stochastic processes

Muneya Matsui; Thomas Mikosch; Gennady Samorodnitsky

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arXiv · 1703.10283

Distance covariance for stochastic processes

Muneya Matsui·Thomas Mikosch·Gennady Samorodnitsky

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Abstract

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 analogs 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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Muneya Matsui, Thomas Mikosch, Gennady Samorodnitsky. 2017-03-30. Distance covariance for stochastic processes. https://arxiv.org/abs/1703.10283

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