Yule’s “nonsense correlation” for Gaussian random walks

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dc.citation.firstpage423en_US
dc.citation.journalTitleStochastic Processes and their Applicationsen_US
dc.citation.lastpage455en_US
dc.citation.volumeNumber162en_US
dc.contributor.authorErnst, Philip A.en_US
dc.contributor.authorHuang, Dongzhouen_US
dc.contributor.authorViens, Frederi G.en_US
dc.date.accessioned2023-07-21T16:13:30Zen_US
dc.date.available2023-07-21T16:13:30Zen_US
dc.date.issued2023en_US
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.en_US
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.en_US
dc.identifier.digital1-s2-0-S0304414923000753-mainen_US
dc.identifier.doihttps://doi.org/10.1016/j.spa.2023.04.007en_US
dc.identifier.urihttps://hdl.handle.net/1911/114959en_US
dc.language.isoengen_US
dc.publisherElsevieren_US
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.en_US
dc.rights.urihttps://creativecommons.org/licenses/by-nc-nd/4.0/en_US
dc.titleYule’s “nonsense correlation” for Gaussian random walksen_US
dc.typeJournal articleen_US
dc.type.dcmiTexten_US
dc.type.publicationpublisher versionen_US
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