dCovTS:Distance Covariance and Correlation for Time Series Analysis
Computing and plotting the distance covariance and correlation function of a univariate or a multivariate time
series. Both versions of biased and unbiased estimators of
distance covariance and correlation are provided. Test
statistics for testing pairwise independence are also
implemented. Some data sets are also included. References
include: a) Edelmann Dominic, Fokianos Konstantinos and
Pitsillou Maria (2019). 'An Updated Literature Review of
Distance Correlation and Its Applications to Time Series'.
International Statistical Review, 87(2): 237--262.
<doi:10.1111/insr.12294>. b) Fokianos Konstantinos and
Pitsillou Maria (2018). 'Testing independence for multivariate
time series via the auto-distance correlation matrix'.
Biometrika, 105(2): 337--352. <doi:10.1093/biomet/asx082>. c)
Fokianos Konstantinos and Pitsillou Maria (2017). 'Consistent
testing for pairwise dependence in time series'. Technometrics,
59(2): 262--270. <doi:10.1080/00401706.2016.1156024>. d)
Pitsillou Maria and Fokianos Konstantinos (2016). 'dCovTS:
Distance Covariance/Correlation for Time Series'. R Journal,
8(2):324-340. <doi:10.32614/RJ-2016-049>.
