9 citations · 24 across the 24 of their papers we have counts for
4 papers · 1 filter
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…
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…
Yule's "nonsense correlation" solved: Part II
Philip A. Ernst, L. C. G. Rogers, Quan Zhou
In 1926, G. Udny Yule considered the following: given a sequence of pairs of random variables (), and letting and where $S…
Yule's "Nonsense Correlation" Solved!
Philip Ernst, Larry Shepp, Abraham Wyner
In this paper, we resolve a longstanding open statistical problem. The problem is to mathematically confirm Yule's 1926 empirical finding of "nonsense correlation" (\cite{Yule}). W…