An Updated Literature Review of Distance Correlation and Its Applications to Time Series
An Updated Literature Review of Distance Correlation and Its Applications to Time Series
Summary The concept of distance covariance/correlation was introduced recently to characterise dependence among vectors of random variables. We review some statistical aspects of distance covariance/correlation function, and we demonstrate its applicability to time series analysis. We will see that the autoādistance covariance/correlation function is able to identify nonālinear relationships and ā¦