DISTANCE COVARIANCE FOR STOCHASTIC PROCESSES
Muneya Matsui
Thomas Mikosch
Gennady Samorodnitsky
Abstract: 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.
2010 AMS Mathematics Subject Classification: Primary: 62E20; Secondary: 62G20,
62M99, 60F05, 60F25.
Keywords and phrases: Empirical characteristic function, distance covariance,
stochastic process, test of independence.