2 papers
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.PR2025
Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: The correlated case
Soukaina Douissi, Philip Ernst, Frederi Viens
We study the continuous-time version of the empirical correlation coefficient between the paths of two possibly correlated Ornstein-Uhlenbeck processes, known as Yule's nonsense co…