Nonparametric tests of independence for pairs of paths of stochastic processes
Abstract
Philip A. ErnstNonparametric tests of independence for pairs of paths of stochastic processes1. AbstractWe aim to build the first demonstrably correct statistical tests for testing independence (or dependence) of pairs of paths of time-dependent stochastic processes. Given two sequences of time-dependent observations Xjs and Yjs, we propose tests for the hypothesisH0 : (Xj) and (Yj) are independent, that are asymptotically exact and powerful under minimal assumptions.The relevant notions of dependence which we will consider are manifold: from whether pairs of paths of stochastic processes are independent, to applied consequences as one considers questions of attribution of factors for real-world phenomena, particularly relating to weather and climate. Important applied goals include an investigation of climate-related risks, such as sea-level rise and extreme weather events, particularly in the North Atlantic Ocean, how they correlate dynamically over medium and long terms, and how heavy-tailed they are. These goals could help with the estimation of costs of U.S. Naval vessels and U.S. Naval installations which may be at risk from extreme weather events.
Document Details
- Document Type
- DoD Grant Award
- Publication Date
- Aug 05, 2021
- Source ID
- N000142112672
Entities
People
- Philip Ernst
Organizations
- Office of Naval Research
- Rice University
- United States Navy