Yule's nonsense correlation for Gaussian random walks
Abstract
This paper provides an exact formula for the second moment of the empirical correlation (also known as Yule's nonsense correlation) for two independent standard Gaussian random walks, as well as implicit formulas for higher moments. We also establish rates of convergence of the empirical correlation of two independent standard Gaussian random walks to the empirical correlation of two independent Wiener processes. (c) 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).