Asymptotic Behaviour of the Empirical Distance Covariance for Dependent Data

DOI10.1007/S10959-021-01073-WMaRDI QIDQ6345293arXivFDO

Authors Marius Kroll

Publication date 17 July 2020

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Measures of association (correlation, canonical correlation, etc.) (62H20) Central limit and other weak theorems (60F05) Geometric embeddings of metric spaces (30L05)

Abstract: We give two asymptotic results for the empirical distance covariance on separable metric spaces without any iid assumption on the samples. In particular, we show the almost sure convergence of the empirical distance covariance for any measure with finite first moments, provided that the samples form a strictly stationary and ergodic process. We further give a result concerning the asymptotic distribution of the empirical distance covariance under the assumption of absolute regularity of the samples and extend these results to certain types of pseudometric spaces. In the process, we derive a general theorem concerning the asymptotic distribution of degenerate V-statistics of order 2 under a strong mixing condition.

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