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Distance Covariance for Stochastic Processes

Matsui M., Mikosch T., Samorodnitsky G.

Probability and Mathematical Statistics

2017

Vol. 37, Fasc. 2

355--372

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 analog of the distance covariance for two stochastic processes defined on some interval. Their empirical analogs can be used to test the independence of two processes.