Applications of distance correlation to time series
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Abstract: The use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit, has a long history dating back to the 70s (see for example, Feuerverger and Mureika (1977), Csorgo (1981a,1981b,1981c), Feuerverger (1993)). More recently, there has been renewed interest in using empirical characteristic functions in other inference settings. The distance covariance and correlation, developed by Szekely and Rizzo (2009) for measuring dependence and testing independence between two random vectors, are perhaps the best known illustrations of this. We apply these ideas to stationary univariate and multivariate time series to measure lagged auto- and cross-dependence in a time series. Assuming strong mixing, we establish the relevant asymptotic theory for the sample auto- and cross-distance correlation functions. We also apply the auto-distance correlation function (ADCF) to the residuals of an autoregressive processes as a test of goodness of fit. Under the null that an autoregressive model is true, the limit distribution of the empirical ADCF can differ markedly from the corresponding one based on an iid sequence. We illustrate the use of the empirical auto- and cross-distance correlation functions for testing dependence and cross-dependence of time series in a variety of different contexts.
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Cites work
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3349105 (Why is no real title available?)
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Cited in
(32)- scientific article; zbMATH DE number 5227807 (Why is no real title available?)
- Testing serial independence with functional data
- Distance covariance for stochastic processes
- The conditional distance autocovariance function
- Empirical characteristic functions-based estimation and distance correlation for locally stationary processes
- A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
- Goodness-of-fit testing for time series models via distance covariance
- An Updated Literature Review of Distance Correlation and Its Applications to Time Series
- Comparing autocorrelation structures of multiple time series via the maximum distance between two groups of time series
- Count and duration time series with equal conditional stochastic and mean orders
- Indirect inference for time series using the empirical characteristic function and control variates
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Autocopulas: investigating the interdependence structure of stationary time series
- Asymptotic behaviour of the empirical distance covariance for dependent data
- Measuring nonlinear dependence in time-series, a distance correlation approach
- Threshold selection for multivariate heavy-tailed data
- Measuring Asset Market Linkages: Nonlinear Dependence and Tail Risk
- Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
- Distance covariance for random fields
- Asymptotic distributions of high-dimensional distance correlation inference
- Distance covariance for discretized stochastic processes
- Semi-Distance Correlation and Its Applications
- New HSIC-based tests for independence between two stationary multivariate time series
- Vector Cross-Correlation in Time Series and Applications
- Jensen-autocorrelation function for weakly stationary processes and applications
- Statistical dependence: beyond Pearson's \(\rho\)
- Fourier-type tests of mutual independence between functional time series
- Clustering multivariate time series using energy distance
- Testing for strict stationarity via the discrete Fourier transform
- Applications of distance correlation to time series
- Time series estimation of the dynamic effects of disaster-type shocks
- A distance-based test of independence between two multivariate time series
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