Distance covariance for discretized stochastic processes
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DOI: 10.3150/20-bej1206
Abstract: Given an iid sequence of pairs of stochastic processes on the unit interval we construct a measure of independence for the components of the pairs. We define distance covariance and distance correlation based on approximations… read more here.
Keywords: stochastic processes; distance; component processes; covariance discretized ... See more keywords