Testing independence for multivariate time series via the auto-distance correlation matrix

K Fokianos and M Pitsillou

Biometrika, 2018, vol. 105, issue 2, 337-352

Abstract: SUMMARYWe introduce the matrix multivariate auto-distance covariance and correlation functions for time series, discuss their interpretation and develop consistent estimators for practical implementation. We also develop a test of the independent and identically distributed hypothesis for multivariate time series data and show that it performs better than the multivariate Ljung–Box test. We discuss computational aspects and present a data example to illustrate the method.

Keywords: Characteristic function; Correlation; Stationarity; U-statistic; Wild bootstrap (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (5)

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