Distance covariance for stochastic processes

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.

Contribution to T. Rolski special issue of Probability and Mathematical Statistics

References in corpus (3)

• Brownian distance covariance
• Covariance function of vector self-similar process
• Applications of Distance Correlation to Time Series