Browsing by Author "Pitsillou, M."
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Article
Consistent Testing for Pairwise Dependence in Time Series
Fokianos, Konstantinos; Pitsillou, M. (2017)We consider the problem of testing pairwise dependence for stationary time series. For this, we suggest the use of a Box–Ljung-type test statistic that is formed after calculating the distance covariance function among ...
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Article
DCovTS: Distance covariance/correlation for time series
Pitsillou, M.; Fokianos, Konstantinos (2016)The distance covariance function is a new measure of dependence between random vectors. We drop the assumption of iid data to introduce distance covariance for time series. The R package dCovTS provides functions that ...
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Article
Testing independence for multivariate time series via the auto-distance correlation matrix
Fokianos, Konstantinos; Pitsillou, M. (2018)SUMMARY. We introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop cons