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

Fokianos, K. and Pitsillou, M. (2018) Testing independence for multivariate time series via the auto-distance correlation matrix. Biometrika, 105 (2). pp. 337-352. ISSN 0006-3444

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Abstract

We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation. We also develop a test of the independent and identically distributed hypothesis for multivariate time series data and show that it performs better than the multivariate Ljung–Box test. We discuss computational aspects and present a data example to illustrate the method.