A Bootstrap Test for Independence of Time Series Based on the Distance Covariance
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Publication:6504867
arXiv2112.14091MaRDI QIDQ6504867FDOQ6504867
Authors: Annika Betken, Herold Dehling, Marius Kroll 
Abstract: We prove the validity of a non-overlapping block bootstrap for the empirical distance covariance under the assumption of strictly stationary and absolutely regular sample data. From this, we develop a test for independence of two strictly stationary and absolutely regular processes. In proving our results, we derive explicit bounds on the expected Wasserstein distance between an empirical measure and its limit for strictly stationary and strongly mixing sample sequences.
Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20) (L^p)-limit theorems (60F25)
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