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

Edelmann, Dominic and Fokianos, Konstantinos and Pitsillou, Maria (2019) An Updated Literature Review of Distance Correlation and Its Applications to Time Series. International Statistical Review, 87 (2). pp. 237-262. ISSN 0306-7734

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Abstract

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.

Item Type:
Journal Article
Journal or Publication Title:
International Statistical Review
Additional Information:
This is the peer reviewed version of the following article: Edelmann, D., Fokianos, K., and Pitsillou, M. ( 2019) An Updated Literature Review of Distance Correlation and Its Applications to Time Series. International Statistical Review, 87: 237– 262. https://doi.org/10.1111/insr.12294 which has been published in final form at http://onlinelibrary.wiley.com/doi/10.1111/insr.12294/abstract This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/1800/1804
Subjects:
ID Code:
127852
Deposited By:
Deposited On:
28 Sep 2018 13:48
Refereed?:
Yes
Published?:
Published
Last Modified:
02 Aug 2020 05:52