The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. This paper proposes a normalization of this diagram taking into consideration the concept of reproducibility probability (RP). The result is a novel tool, named RP-autodependogram, which permits to study the strength and the stability of the evidence about the presence of lag-dependence. A simulation study on well-established time-series models is carried out to investigate the behavior of the RP-autodependogram also in comparison with other diagrams studying autodependencies. An application to financial data is finally considered to appreciate its usefulness in the identification of parametric/nonparametric models.
Bagnato, L., De Capitani, L., Punzo, A., Detecting serial dependencies with the reproducibility probability autodependogram, <<ASTA ADVANCES IN STATISTICAL ANALYSIS>>, 2014; 98 (1): 35-61. [doi:10.1007/s10182-013-0208-y] [http://hdl.handle.net/10807/41572]
Detecting serial dependencies with the reproducibility probability autodependogram
Bagnato, Luca;
2014
Abstract
The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. This paper proposes a normalization of this diagram taking into consideration the concept of reproducibility probability (RP). The result is a novel tool, named RP-autodependogram, which permits to study the strength and the stability of the evidence about the presence of lag-dependence. A simulation study on well-established time-series models is carried out to investigate the behavior of the RP-autodependogram also in comparison with other diagrams studying autodependencies. An application to financial data is finally considered to appreciate its usefulness in the identification of parametric/nonparametric models.
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