The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson chi-square statistics of independence at various lags in order to point out the presence lag-depedencies. This paper proposes an improvement of this diagram obtained by substituting the chi-square statistics with an estimator of the Kullback–Leibler divergence between the bivariate density of two delayed variables and the product of their marginal distributions. A simulation study, on well-established time series models, shows that this new autodependogram is more powerful than the previous one. An application to a well-known financial time series is also shown.

Bagnato, L., De Capitani, L., Punzo, A., The Kullback–Leibler autodependogram, <<JOURNAL OF APPLIED STATISTICS>>, N/A; (43)14 (N/A): 2574-2594. [doi:10.1080/02664763.2016.1142943] [http://hdl.handle.net/10807/76082]

The Kullback–Leibler autodependogram

Bagnato
Primo
;
2016

Abstract

The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson chi-square statistics of independence at various lags in order to point out the presence lag-depedencies. This paper proposes an improvement of this diagram obtained by substituting the chi-square statistics with an estimator of the Kullback–Leibler divergence between the bivariate density of two delayed variables and the product of their marginal distributions. A simulation study, on well-established time series models, shows that this new autodependogram is more powerful than the previous one. An application to a well-known financial time series is also shown.
Inglese
Bagnato, L., De Capitani, L., Punzo, A., The Kullback–Leibler autodependogram, <<JOURNAL OF APPLIED STATISTICS>>, N/A; (43)14 (N/A): 2574-2594. [doi:10.1080/02664763.2016.1142943] [http://hdl.handle.net/10807/76082]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/76082
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