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math.ST2025
Tests of independence for pairs of paths of non-stationary Gaussian processes
Philip A. Ernst, Frederi G. Viens, Shuo Yan
In the current work, we provide theoretical results for testing (in)dependence between pairs of paths of most commonly studied non-stationary Gaussian processes - standard Brownian…
math.ST2025
Exact and asymptotic distribution theory for the empirical correlation of two AR(1) processes with Gaussian increments
Philip A. Ernst, Dongzhou Huang
This paper begins with a study of the exact distribution of the empirical correlation of two independent AR(1) processes with Gaussian increments. We proceed to develop rates of co…