Yule’s “nonsense correlation” for Gaussian random walks

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dc.citation.firstpage423
dc.citation.journalTitleStochastic Processes and their Applications
dc.citation.lastpage455
dc.citation.volumeNumber162
dc.contributor.authorErnst, Philip A.
dc.contributor.authorHuang, Dongzhou
dc.contributor.authorViens, Frederi G.
dc.date.accessioned2023-07-21T16:13:30Z
dc.date.available2023-07-21T16:13:30Z
dc.date.issued2023
dc.description.abstractThis paper provides an exact formula for the second moment of the empirical correlation (also known as Yule’s “nonsense correlation”) for two independent standard Gaussian random walks, as well as implicit formulas for higher moments. We also establish rates of convergence of the empirical correlation of two independent standard Gaussian random walks to the empirical correlation of two independent Wiener processes.
dc.identifier.citationErnst, Philip A., Huang, Dongzhou and Viens, Frederi G.. "Yule’s “nonsense correlation” for Gaussian random walks." <i>Stochastic Processes and their Applications,</i> 162, (2023) Elsevier: 423-455. https://doi.org/10.1016/j.spa.2023.04.007.
dc.identifier.digital1-s2-0-S0304414923000753-main
dc.identifier.doihttps://doi.org/10.1016/j.spa.2023.04.007
dc.identifier.urihttps://hdl.handle.net/1911/114959
dc.language.isoeng
dc.publisherElsevier
dc.rightsExcept where otherwise noted, this work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives (CC BY-NC-ND) license.  Permission to reuse, publish, or reproduce the work beyond the terms of the license or beyond the bounds of Fair Use or other exemptions to copyright law must be obtained from the copyright holder.
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/
dc.titleYule’s “nonsense correlation” for Gaussian random walks
dc.typeJournal article
dc.type.dcmiText
dc.type.publicationpublisher version
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