In this chapter the autodependogram is contextualized in model diagnostic checking for nonlinear models by studying the lag-dependencies of the residuals. Simulations are considered to evaluate its effectiveness in this context. An application to the Swiss Market Index is also provided.
Bagnato, L., Punzo, A., Using the Autodependogram in Model Diagnostic Checking, in Torelli, N., Pesarin, F., Bar-Hen, A. (ed.), Advances in Theoretical and Applied Statistics, Springer, Berlino 2013: 129- 139. 10.1007/978-3-642-35588-2_13 [http://hdl.handle.net/10807/46591]
Using the Autodependogram in Model Diagnostic Checking
Bagnato, Luca;
2013
Abstract
In this chapter the autodependogram is contextualized in model diagnostic checking for nonlinear models by studying the lag-dependencies of the residuals. Simulations are considered to evaluate its effectiveness in this context. An application to the Swiss Market Index is also provided.
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