par Wens, Vincent 
Référence Frontiers in Applied Mathematics and Statistics, 4
Publication Publié, 2018-06-01
Référence Frontiers in Applied Mathematics and Statistics, 4
Publication Publié, 2018-06-01
Article révisé par les pairs
| Résumé : | The balance held by Brownian motion between temporal regularity and randomness is embodied in a remarkable way by Levy's forgery of continuous functions. Here we describe how this property can be extended to forge arbitrary dependences between two statistical systems, and then establish a new Brownian independence test based on fluctuating random paths. We also argue that this result allows revisiting the theory of Brownian covariance from a physical perspective and opens the possibility of engineering nonlinear correlation measures from more general functional integrals. |
