Measuring nonlinear dependence in time‐series, a distance correlation approach

By Zhou Zhou. 2012

125 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a559f48b4a8f74833852a2f61625de74a3b435f0

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Citations in the corpus

A fast algorithm for computing distance correlation (2018, methodology): “Dependence measures such as Pearson’s correlation, Spearman’s ρ , and Kendall’s τ are used in almost all quantitative areas; example areas are bioinformatics (Guo et al., 2014; Sferra et al., 2017) and time-series (Zhou, 2012).”
Statistical Dependence: Beyond Pearson’s ρ (2018, background): “It has been extended to time series and multiple dependencies by Davis et al. (2018), Fokianos and Pitsillou (2017), Zhou (2012), and Dueck et al. (2014), Dueck, Edelman, and Richards (2015) and Yao, Zhang, and Shao (2018).”
The exact equivalence of distance and kernel methods in hypothesis testing (2018, methodology): “It can be used in two-sample test [18, 20], conditional independence [29, 34], feature screening [12, 33, 37], clustering [19, 27], time-series testing [3, 14, 38], graph dependence [11, 35].”
The affinely invariant distance correlation (2012, background): “Zhou [24] pursued this approach recently and defined the auto distance covariance function and the auto distance correlation function, along with natural sample versions, for a strongly stationary vector-valued time series, say (Xj )∞j=−∞.”
A Modified CRITIC Method to Estimate the Objective Weights of Decision Criteria (2021, background): “However, we discovered that this test could deliver misleading results since the Pearson correlation is unable to capture a nonlinear association [50] between any two sets of weights.”
Applications of distance correlation to time series (2016, methodology): “To the best of our knowledge, Zhou (2012) was the first to study the auto-distance covariance and its empirical analog for stationary sequences.”
An Updated Literature Review of Distance Correlation and Its Applications to Time Series (2017, unknown): “…existence of ﬁrst moment, Fokianos and Pitsillou (2017) obtained the strong consistency of V 2 X ( ) to its population counterpart for a ﬁxed lag j . b Zhou (2012) obtained the weak consistency of b V X ( ) requiring (1 + r 0 ) ;th moment of the process for some r 0 > 0 by assuming short range…”
Energy statistics: A class of statistics based on distances (2013, methodology): “For time series, definitions of an “auto” distance correlation analogous to auto correlation have been considered by Matteson and Tsay (2011), Rémillard (2009), and Zhou (2012).”
Quantile coherency: A general measure for dependence between cyclical economic variables (2015, unknown): “For time series, in the time domain, Zhou (2012) introduced auto distance correlations that are zero if and only if the measured time series components are independent.”