Distance covariance for stochastic processes

zbMath1396.62115arXiv1703.10283MaRDI QIDQ4578302

Muneya Matsui, Thomas Mikosch, Gennady Samorodnitsky

Publication date: 8 August 2018

Full work available at URL: https://arxiv.org/abs/1703.10283

zbMATH Keywords

stochastic processempirical characteristic functiondistance covariancetest of independence

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (5)

Distance covariance for random fields ⋮ Characteristic kernels on Hilbert spaces, Banach spaces, and on sets of measures ⋮ Distance covariance for discretized stochastic processes ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ Asymptotic distributions of high-dimensional distance correlation inference

Cites Work

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• Partial distance correlation with methods for dissimilarities
• Measuring and testing dependence by correlation of distances
• Distance covariance in metric spaces
• The distance correlation \(t\)-test of independence in high dimension
• Brownian distance covariance
• Covariance function of vector self-similar processes
• Applications of distance correlation to time series
• A Consistent Test for Bivariate Dependence

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