A Kernel Independence Test for Random Processes
This repository contains Matlab implementation of statistical hypothesis test for independence of time series as described in http://arxiv.org/abs/1402.4501.
The test statistic is the Hilbert-Schmidt Independence Criterion (HSIC), which was used previously in testing independence for i.i.d. pairs of variables http://www.gatsby.ucl.ac.uk/~gretton/indepTestFiles/indep.htm . Here it is adjusted to test is processes X_t and Y_t are independent based on a realization of those processes.