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arXiv · 1705.01372

Brownian forgery of statistical dependences

Vincent Wens
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Abstract

The balance held by Brownian motion between temporal regularity and randomness is embodied in a remarkable way by Levy's forgery of continuous functions. Here we describe how this property can be extended to forge arbitrary dependences between two statistical systems, and then establish a new Brownian independence test based on fluctuating random paths. We also argue that this result allows revisiting the theory of Brownian covariance from a physical perspective and opens the possibility of engineering nonlinear correlation measures from more general functional integrals.

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BibTeXRIS

Vincent Wens. 2017-05-03. Brownian forgery of statistical dependences. https://doi.org/10.3389/fams.2018.00019

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