Testing independence for multivariate time series via the auto-distance correlation matrix

DOI10.1093/BIOMET/ASX082OpenAlexW2790793074MaRDI QIDQ5384589FDOQ5384589

Authors: Konstantinos Fokianos, Maria Pitsillou 

Publication date: 24 June 2019

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/127720/1/CrossDistanceCovarianceComplete.pdf

zbMATH Keywords

characteristic functioncorrelationstationaritywild bootstrap\(U\)-statistic

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

Cited In (18)

• Estimation of time series models using residuals dependence measures
• A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures
• 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
• Testing independence of two autocorrelated binary time series
• A novel distance correlation entropy and auto-distance correlation function for measuring the complexity of time series data
• Distance-covariance-based tests for heteroscedasticity in nonlinear regressions
• On testing for separable correlations of multivariate time series
• Testing for serial independence in vector autoregressive models
• Estimating and Testing Nonlinear Local Dependence Between Two Time Series
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
• Distance covariance for random fields
• Independence test via mutual information in the presence of measurement errors
• The exact equivalence of distance and kernel methods in hypothesis testing
• A new framework for distance and kernel-based metrics in high dimensions
• Clustering multivariate time series using energy distance
• The Chi-Square Test of Distance Correlation
• A distance-based test of independence between two multivariate time series

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