An Updated Literature Review of Distance Correlation and Its Applications to Time Series. (27th September 2018)

• Record Type: Journal Article
• Authors: Edelmann, Dominic; Fokianos, Konstantinos; Pitsillou, Maria
• Is Part Of: International statistical review. Volume 87:Number 2(2019)
• Page Start: 237
• Page End: 262
• Publication Date: 2018-09-27
• Subjects: characteristic function -- distance covariance -- non‐linear time series -- Portmanteau test statistics -- spectral density; Statistics -- Periodicals; Statistics -- Bibliography -- Periodicals; Statistics -- Bibliography; Statistics -- Periodicals; Statistique; Statistique -- Périodiques; Statistique -- Bibliographie -- Périodiques; Statistique -- Étude et enseignement -- Périodiques; Statistique -- Étude et enseignement -- Bibliographie -- Périodiques; Ressource Internet (Descripteur de forme); Périodique électronique (Descripteur de forme); 519.2
• DOI: 10.1111/insr.12294
• Languages: English
• ISSNs: 0306-7734

Abstract

Summary: The concept of distance covariance/correlation was introduced recently to characterise dependence among vectors of random variables. We review some statistical aspects of distance covariance/correlation function, and we demonstrate its applicability to time series analysis. We will see that the auto‐distance covariance/correlation function is able to identify non‐linear relationships and can be employed for testing the i.i.d. hypothesis. Comparisons with other measures of dependence are included.