Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach

DOI10.1214/22-EJS2021zbMath1492.60055arXiv2108.02857OpenAlexW3192673975MaRDI QIDQ2154948

Khalifa Es-Sebaiy, Frederi G. Viens, Soukaina Douissi

Publication date: 15 July 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2108.02857

zbMATH Keywords

Ornstein-Uhlenbeck pathsWiener chaos approachYule's nonsense correlation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05)

Related Items (1)

Yule's ``nonsense correlation for Gaussian random walks

Cites Work

• Stein's method on Wiener chaos
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Density formula and concentration inequalities with Malliavin calculus
• Understanding spurious regressions in econometrics
• Yule's ``nonsense correlation solved!
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
• The optimal fourth moment theorem
• The accuracy of the normal approximation for minimum contrast estimates

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