Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach

Soukaina Douissi, Frederi G. Viens, Khalifa Es-Sebaiy

In this paper, we study the distribution of the so-called "Yule's nonsense correlation statistic" on a time interval $[0,T]$ for a time horizon $T>0$ , when $T$ is large, for a pai…