The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson χ2 -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 χ2 -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. (2016). The Kullback–Leibler autodependogram. JOURNAL OF APPLIED STATISTICS, 43(14), 2574-2594 [10.1080/02664763.2016.1142943].
The Kullback–Leibler autodependogram
Bagnato, L.;De Capitani, L.;Punzo, A.
2016
Abstract
The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson χ2 -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 χ2 -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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.