In this article the serial dependences between the observed time series and the lagged series, taken into account one-by-one, are graphically analysed by what we have chosen to call the “autodependogram”. This tool is a sort of natural nonlinear counterpart of the well-known autocorrelogram used in the linear context. The autodependogram is based on the simple idea of using, instead of autocorrelations at varying time lags, the chi-square test statistics applied to convenient contingency tables. The efficacy of this graphical device is confirmed by real and artificial time series and by simulations from certain classes of well-known models, characterized by randomness and by different kinds of linear and nonlinear dependences.
Bagnato, L., Punzo, A., Nicolis, O., The autodependogram: a graphical device toinvestigate serial dependences, <<JOURNAL OF TIME SERIES ANALYSIS>>, 2012; 2012 (Marzo): 233-254. [doi:10.1111/j.1467-9892.2011.00754.x] [http://hdl.handle.net/10807/40391]
The autodependogram: a graphical device to investigate serial dependences
Bagnato, Luca;
2012
Abstract
In this article the serial dependences between the observed time series and the lagged series, taken into account one-by-one, are graphically analysed by what we have chosen to call the “autodependogram”. This tool is a sort of natural nonlinear counterpart of the well-known autocorrelogram used in the linear context. The autodependogram is based on the simple idea of using, instead of autocorrelations at varying time lags, the chi-square test statistics applied to convenient contingency tables. The efficacy of this graphical device is confirmed by real and artificial time series and by simulations from certain classes of well-known models, characterized by randomness and by different kinds of linear and nonlinear dependences.
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