Distance covariance for random fields

DOI10.1016/J.SPA.2022.04.009MaRDI QIDQ2145778zbMATH OpenOpenAlexFDO

Authors Muneya Matsui, T. Mikosch, Rasool Roozegar, Laleh Tafakori

Publication date 20 June 2022

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.03162

zbMATH Keywords

distance covarianceindependence testrandom fieldempirical characteristic function

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Random fields; image analysis (62M40) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) (L^p)-limit theorems (60F25)

Abstract: We study an independence test based on distance correlation for random fields $(X,Y)$. We consider the situations when $(X,Y)$ is observed on a lattice with equidistant grid sizes and when $(X,Y)$ is observed at random locations. We provide asymptotic theory for the sample distance correlation in both situations and show bootstrap consistency. The latter fact allows one to build a test for independence of $X$ and $Y$ based on the considered discretizations of these fields. We illustrate the performance of the bootstrap test in a simulation study involving fractional Brownian and infinite variance stable fields. The independence test is applied to Japanese meteorological data, which are observed over the entire area of Japan.

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Cited in

(3)

• Distance covariance for discretized stochastic processes
• Generalization of the HSIC and distance covariance using PDI kernels
• A basic treatment of the distance covariance

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