Yule's ``nonsense correlation solved!

DOI10.1214/16-AOS1509zbMath1412.60117arXiv1608.04120OpenAlexW2963237610MaRDI QIDQ2403437

Abraham J. Wyner, Philip A. Ernst, Lawrence A. Shepp

Publication date: 8 September 2017

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.04120

zbMATH Keywords

Wiener processesintegral equationsvolatile correlation

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Foundations of stochastic processes (60G05)

Related Items (4)

Understanding nonsense correlation between (independent) random walks in finite samples ⋮ Asymptotics of Yule's nonsense correlation for Ornstein-Uhlenbeck paths: a Wiener chaos approach ⋮ Network Dependence Can Lead to Spurious Associations and Invalid Inference ⋮ Yule's ``nonsense correlation for Gaussian random walks

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