Ernst, Philip A.Huang, DongzhouViens, Frederi G.2023-07-212023-07-212023Ernst, 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.https://hdl.handle.net/1911/114959This 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.engExcept 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.Journal article1-s2-0-S0304414923000753-mainhttps://doi.org/10.1016/j.spa.2023.04.007