dCovTS

swMATH27900CRANdCovTSMaRDI QIDQ39614FDOQ39614

Distance Covariance and Correlation for Time Series Analysis

Konstantinos Fokianos, Michail Tsagris, Maria Pitsillou

Last update: 28 September 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.3, 1.0, 1.1, 1.2, 1.3, 1.4

Source code repository: https://github.com/cran/dCovTS

Description

Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time series. Both versions of biased and unbiased estimators of distance covariance and correlation are provided. Test statistics for testing pairwise independence are also implemented. Some data sets are also included. References include: a) Edelmann Dominic, Fokianos Konstantinos and Pitsillou Maria (2019). 'An Updated Literature Review of Distance Correlation and Its Applications to Time Series'. International Statistical Review, 87(2): 237–262. <doi:10.1111/insr.12294>. b) Fokianos Konstantinos and Pitsillou Maria (2018). 'Testing independence for multivariate time series via the auto-distance correlation matrix'. Biometrika, 105(2): 337–352. <doi:10.1093/biomet/asx082>. c) Fokianos Konstantinos and Pitsillou Maria (2017). 'Consistent testing for pairwise dependence in time series'. Technometrics, 59(2): 262–270. <doi:10.1080/00401706.2016.1156024>. d) Pitsillou Maria and Fokianos Konstantinos (2016). 'dCovTS: Distance Covariance/Correlation for Time Series'. R Journal, 8(2):324-340. <doi:10.32614/RJ-2016-049>.

Cites work

• An Updated Literature Review of Distance Correlation and Its Applications to Time Series
• Testing independence for multivariate time series via the auto-distance correlation matrix
• Consistent Testing for Pairwise Dependence in Time Series
• dCovTS: Distance Covariance/Correlation for Time Series

This page was built for software: dCovTS