An Updated Literature Review of Distance Correlation and its\n Applications to Time Series

2017/10/03 by Dominic Edelmann, Konstantinos Fokianos, Edelmann, Dominic +3 · 2 citations
Computer Science · #FOS: Computer and information sciences #Methodology (stat.ME) #Neural Networks and Applications

paper · pdf · doi:10.48550/arxiv.1710.01146

openalex publication_date 2017/10/03 · openalex created_date 2022/10/06 · openalex updated_date 2026/07/28

Abstract

The concept of distance covariance/correlation was introduced recently to\ncharacterize dependence among vectors of random variables. We review some\nstatistical aspects of distance covariance/correlation function and we\ndemonstrate its applicability to time series analysis. We will see that the\nauto-distance covariance/correlation function is able to identify nonlinear\nrelationships and can be employed for testing the i.i.d. hypothesis.\nComparisons with other measures of dependence are included.\n

Cited by

• Measuring General Associations in Time Series: An Adaptation and Empirical Evaluation of the CODEC Coefficient in Determining Autoregressive Dynamics
• On independence testing using the (partial) distance correlation

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