Applications of distance correlation to time series

DOI10.3150/17-BEJ955zbMath1414.62357arXiv1606.05481MaRDI QIDQ1708994

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

Publication date: 27 March 2018

Published in: Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

time series; Fourier analysis; ergodicity; strong mixing; \(U\)-statistics; residuals; testing independence; AR process; auto- and cross-distance correlation function

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

60G10: Stationary stochastic processes

60E10: Characteristic functions; other transforms