Understanding nonsense correlation between (independent) random walks in finite samples

DOI10.1007/S00362-021-01237-0zbMath1490.60107OpenAlexW3157384703MaRDI QIDQ2122808

Mehdi Hosseinkouchack, Uwe Hassler

Publication date: 7 April 2022

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-021-01237-0

zbMATH Keywords

concordancecoin tossingdiscordancemaximum length of association

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Sums of independent random variables; random walks (60G50)

Cites Work

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• The Erdős-Rényi law in distribution, for coin tossing and sequence matching
• An extreme value theory for long head runs
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• The limit distribution of the length of the longest head-run
• Nonsense regressions due to neglected time-varying means
• Yule's ``nonsense correlation solved!
• Regularities and irregularities in a random 0,1 sequence
• Long repetitive patterns in random sequences
• Random Walk in Random and Non-Random Environments

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