Distance covariance for random fields

Muneya Matsui, Thomas Mikosch, Rasool Roozegar and Laleh Tafakori

Stochastic Processes and their Applications, 2022, vol. 150, issue C, 280-322

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 by simulations, and apply the test to Japanese meteorological data observed over the entire area of Japan.

Keywords: Empirical characteristic function; Distance covariance; Random field; Independence test (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.spa.2022.04.009

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