An Updated Literature Review of Distance Correlation and Its Applications to Time Series
Date
2019ISSN
1751-5823Source
International Statistical ReviewVolume
87Issue
2Pages
237-262Google Scholar check
Metadata
Show full item recordAbstract
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.