Testing independence for multivariate time series via auto multivariate distance covariance

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-04-09 DOI:10.1080/03610926.2024.2338418

Jingren Chen, Xuejun Ma, Yue Chao

引用次数: 0

Abstract

We propose the auto multivariate distance covariance for time series, which extends the concept of joint high distance covariance. Furthermore, we develop two new procedures for testing mutual inde...

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通过自多元距离协方差测试多元时间序列的独立性

我们提出了时间序列的自多元距离协方差，它扩展了联合高距离协方差的概念。此外，我们还开发了两种新的程序，用于测试时间序列的互不相关性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.