An Updated Literature Review of Distance Correlation and Its Applications to Time Series

DOI10.1111/insr.12294arXiv1710.01146MaRDI QIDQ6086614

Maria Pitsillou, Konstantinos Fokianos, Dominic Edelmann

Publication date: 10 November 2023

Published in: International Statistical Review (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.01146

zbMATH Keywords

characteristic functionspectral densitynonlinear time seriesdistance covarianceportmanteau test statistics

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (7)

Testing serial independence with functional data ⋮ Change-point methods for multivariate time-series: paired vectorial observations ⋮ A consistent version of distance covariance for right‐censored survival data and its application in hypothesis testing ⋮ A novel approach of dependence measure for complex signals ⋮ Tests for validity of the semiparametric heteroskedastic transformation model ⋮ A basic treatment of the distance covariance ⋮ A regression perspective on generalized distance covariance and the Hilbert-Schmidt independence criterion

Cites Work

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• Partial distance correlation with methods for dissimilarities
• Measuring and testing dependence by correlation of distances
• Equivalence of distance-based and RKHS-based statistics in hypothesis testing
• Partial martingale difference correlation
• Distance covariance in metric spaces
• Energy statistics: a class of statistics based on distances
• The distance correlation \(t\)-test of independence in high dimension
• Dependent wild bootstrap for degenerate \(U\)- and \(V\)-statistics
• The affinely invariant distance correlation
• Testing serial independence via density-based measures of divergence
• Local Gaussian correlation: a new measure of dependence
• Tests for independence in non-parametric heteroscedastic regression models
• Distance correlation coefficients for Lancaster distributions
• Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Brownian distance covariance
• Fourier methods for testing multivariate independence
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• Subsampling
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• Model-free feature screening for ultrahigh-dimensional data conditional on some variables
• Systemic risk and causality dynamics of the world international shipping market
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• On the uniqueness of distance covariance
• A generalization of an integral arising in the theory of distance correlation
• Of copulas, quantiles, ranks and spectra: an \(L_{1}\)-approach to spectral analysis
• A multivariate nonparametric test of independence
• An automatic portmanteau test for serial correlation
• Brownian Covariance and Central Limit Theorem for Stationary Sequences
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Local Gaussian Autocorrelation and Tests for Serial Independence
• Inference For Autocorrelations Under Weak Assumptions
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• TESTING FOR THE MARKOV PROPERTY IN TIME SERIES
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• Laplace Periodogram for Time Series Analysis
• The Multivariate Portmanteau Statistic
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a measure of lack of fit in time series models
• Testing for Pairwise Serial Independence Via the Empirical Distribution Function
• A nonparametric test of serial independence based on the empirical distribution function
• Measures of Dependence and Tests of Independence
• Generalized Spectral Tests for Serial Dependence
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• Distance covariance for stochastic processes
• Kernel-Based Tests for Joint Independence
• Sure Independence Screening for Ultrahigh Dimensional Feature Space
• Feature Screening via Distance Correlation Learning
• A Consistent Test for Bivariate Dependence
• Consistent Testing for Serial Correlation of Unknown Form
• Testing Mutual Independence in High Dimension via Distance Covariance
• Martingale Difference Correlation and Its Use in High-Dimensional Variable Screening
• Variable selection in regression using maximal correlation and distance correlation
• An iterative approach to distance correlation-based sure independence screening
• The Dependent Wild Bootstrap
• Conditional Distance Correlation
• Testing independence for multivariate time series via the auto-distance correlation matrix
• Distribution Free Tests of Independence Based on the Sample Distribution Function
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Discussion of: Brownian distance covariance
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