Understanding nonsense correlation between (independent) random walks in finite samples
Sign Up to like & getrecommendations! Published in 2021 at "Statistical Papers"
DOI: 10.1007/s00362-021-01237-0
Abstract: Consider two independent random walks. By chance, there will be spells of association between them where the two processes move in the same direction, or in opposite direction. We compute the probabilities of the length… read more here.
Keywords: nonsense correlation; random walks; understanding nonsense; correlation independent ... See more keywords