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

• 成果类型: Article
• 署名作者: Fokianos, K.; Pitsillou, M.
• 署名单位: University of Cyprus
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asx082
• 发表日期: 2018
• 页码: 337352
• 关键词: dependence; statistics; bootstrap; AUTOCORRELATIONS; degenerate

摘要

We 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.