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

Published:2012-03-13 Issue:3 Volume:33 Page:438-457
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:

Author:

Zhou Zhou

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9892.2011.00780.x/fullpdf

Reference29 articles.

1. A diagnostic test for nonlinear serial dependence in time-series fitting errors;Ashley;Journal of Time Series Analysis,1986

2. The autodependogram: a graphical device to investigate serial dependences;Bagnato;Journal of Time Series Analysis,2011

3. Bootstrap methods in statistics;Beran;Jahresberichte des Deutschen Mathematischen Vereins,1984

4. Convergence of Probability Measures

5. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

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