Distance covariance for random fields

Autor: Matsui, Muneya, Mikosch, Thomas, Roozegar, Rasool, Tafakori, Laleh

We study an independence test based on distance correlation for random fields $(X,Y)$. We consider the situations when $(X,Y)$ is observed on a lattice with equidistant grid sizes and when $(X,Y)$ is observed at random locations. We provide asymptoti

Externí odkaz: http://arxiv.org/abs/2107.03162

Distance covariance for stochastic processes

Autor: Matsui, Muneya, Mikosch, Thomas, Samorodnitsky, Gennady

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 di

Externí odkaz: http://arxiv.org/abs/1703.10283

Distance covariance for discretized stochastic processes

Autor: Herold Dehling, Muneya Matsui, Gennady Samorodnitsky, Laleh Tafakori, Thomas Mikosch

Publikováno v: Dehling, H G, Matsui, M, Mikosch, T V, Samorodnitsky, G & Tafakori, L 2020, ' Distance covariance for discretized stochastic processes ', Bernoulli, vol. 26, pp. 2758-2789 . https://doi.org/10.3150/20-BEJ1206
Bernoulli 26, no. 4 (2020), 2758-2789

Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance and distance correlation based on approximations of the component proces

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e051b7ecf66bf0bf8417effce661b6e6
https://doi.org/10.3150/20-bej1206