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 independence in multivariate time series that combine the auto multivariate distance covariance with either the Box and Pierce (Citation1970) or the Li and McLeod (Citation1981) tests. Simulation results suggest that the proposed method is highly effective. We also apply our methods to analyze the relationships between the real gross domestic products of the United Kingdom, Canada, and the United States.
MSC 2010 subject classifications::
Acknowledgments
The authors thank the editor, associate editor, and two referees for their careful reviews and constructive comments that substantially improve this work.
Disclosure statement
No potential conflict of interest was reported by the author(s).