Applications of distance correlation to time series

DOI10.3150/17-BEJ955zbMATH Open1414.62357arXiv1606.05481OpenAlexW2964190167MaRDI QIDQ1708994FDOQ1708994

T. Mikosch, Muneya Matsui, Phyllis Wan, Richard A. Davis

Publication date: 27 March 2018

Published in: Bernoulli (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1606.05481

zbMATH Keywords

ergodicityresidualstime series\(U\)-statisticsstrong mixingFourier analysistesting independenceAR processauto- and cross-distance correlation function

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10)

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Cited In (28)

• Testing serial independence with functional data
• Distance covariance for stochastic 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
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• Time series estimation of the dynamic effects of disaster-type shocks
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• A distance-based test of independence between two multivariate time series

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