Modified martingale difference correlations

Zhou, JK; Zhu, LX

Zhu, LX (corresponding author), Hong Kong Baptist Univ, Dept Math, Hong Kong, Peoples R China.; Zhu, LX (corresponding author), Beijing Normal Univ, Sch Stat, Beijing, Peoples R China.

JOURNAL OF NONPARAMETRIC STATISTICS, 2021; 33 (2): 359

Abstract

To ameliorate some drawbacks of Martingale Difference Correlation (MDC) such as the asymmetry in the sense that for a pair of vectors, the value of MD......

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