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

Dominic Edelmann, Konstantinos Fokianos and Maria Pitsillou

International Statistical Review, 2019, vol. 87, issue 2, 237-262

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.

Date: 2019
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