Applications of distance correlation to time series

DOI10.3150/17-BEJ955zbMath1414.62357arXiv1606.05481OpenAlexW2964190167MaRDI QIDQ1708994

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

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 seriesFourier analysisergodicitystrong mixing\(U\)-statisticsresidualstesting independenceAR processauto- and cross-distance correlation function

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Stationary stochastic processes (60G10) Characteristic functions; other transforms (60E10)

Related Items (22)

Asymptotic behaviour of the empirical distance covariance for dependent data ⋮ Distance covariance for random fields ⋮ Testing serial independence with functional data ⋮ Unnamed Item ⋮ Threshold selection for multivariate heavy-tailed data ⋮ Clustering multivariate time series using energy distance ⋮ Empirical Characteristic Functions‐Based Estimation and Distance Correlation for Locally Stationary Processes ⋮ Time series estimation of the dynamic effects of disaster-type shocks ⋮ A distance-based test of independence between two multivariate time series ⋮ Distance covariance for discretized stochastic processes ⋮ Applications of distance correlation to time series ⋮ An Updated Literature Review of Distance Correlation and Its Applications to Time Series ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Distance covariance for stochastic processes ⋮ Asymptotic distributions of high-dimensional distance correlation inference ⋮ A multivariate distance nonlinear causality test based on partial distance correlation: a machine learning application to energy futures ⋮ Statistical dependence: beyond Pearson's \(\rho\) ⋮ COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS ⋮ Fourier-type tests of mutual independence between functional time series ⋮ Indirect inference for time series using the empirical characteristic function and control variates ⋮ Goodness-of-fit testing for time series models via distance covariance

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