请选择 进入手机版 | 继续访问电脑版
楼主: oliyiyi
1167 2

Applications of Distance Correlation to Time Series. [推广有奖]

版主

泰斗

0%

还不是VIP/贵宾

-

TA的文库  其他...

计量文库

威望
7
论坛币
272091 个
通用积分
31269.1753
学术水平
1435 点
热心指数
1554 点
信用等级
1345 点
经验
383778 点
帖子
9599
精华
66
在线时间
5466 小时
注册时间
2007-5-21
最后登录
2024-3-21

初级学术勋章 初级热心勋章 初级信用勋章 中级信用勋章 中级学术勋章 中级热心勋章 高级热心勋章 高级学术勋章 高级信用勋章 特级热心勋章 特级学术勋章 特级信用勋章

oliyiyi 发表于 2016-6-20 11:09:38 |显示全部楼层 |坛友微信交流群

+2 论坛币
k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群
赵安豆老师微信:zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

感谢您参与论坛问题回答

经管之家送您两个论坛币!

+2 论坛币


Richard A. Davis, Muneya Matsui, Thomas Mikosch, Phyllis Wan[url=][/url] 通过 Statistics authors/titles recent submissionsThe use of empirical characteristic functions for inference problems, including estimation in some special parametric settings and testing for goodness of fit, has a long history dating back to the 70s (see for example, Feuerverger and Mureika (1977), Csorgo (1981a,1981b,1981c), Feuerverger (1993)). More recently, there has been renewed interest in using empirical characteristic functions in other inference settings. The distance covariance and correlation, developed by Szekely and Rizzo (2009) for measuring dependence and testing independence between two random vectors, are perhaps the best known illustrations of this. We apply these ideas to stationary univariate and multivariate time series to measure lagged auto- and cross-dependence in a time series. Assuming strong mixing, we establish the relevant asymptotic theory for the sample auto- and cross-distance correlation functions. We also apply the auto-distance correlation function (ADCF) to the residuals of an autoregressive processes as a test of goodness of fit. Under the null that an autoregressive model is true, the limit distribution of the empirical ADCF can differ markedly from the corresponding one based on an iid sequence. We illustrate the use of the empirical auto- and cross-distance correlation functions for testing dependence and cross-dependence of time series in a variety of different contexts.


二维码

扫码加我 拉你入群

请注明:姓名-公司-职位

以便审核进群资格,未注明则拒绝

关键词:Applications Application correlation Time Series relation Series

已有 1 人评分学术水平 热心指数 信用等级 收起 理由
janyiyi + 3 + 3 + 3 精彩帖子

总评分: 学术水平 + 3  热心指数 + 3  信用等级 + 3   查看全部评分

缺少币币的网友请访问有奖回帖集合
https://bbs.pinggu.org/thread-3990750-1-1.html
kyle2014 发表于 2016-7-7 09:55:00 |显示全部楼层 |坛友微信交流群

thanks

使用道具

janyiyi 发表于 2016-12-1 21:30:53 |显示全部楼层 |坛友微信交流群
谢谢分享

使用道具

您需要登录后才可以回帖 登录 | 我要注册

本版微信群
加好友,备注jltj
拉您入交流群

京ICP备16021002-2号 京B2-20170662号 京公网安备 11010802022788号 论坛法律顾问:王进律师 知识产权保护声明   免责及隐私声明

GMT+8, 2024-3-29 17:23