Improving the Autodependogram Using the Kullback-Leibler Divergence

The autodependogram is a graphical device re- cently proposed in the literature to analyze au- todependencies. It is defined computing the clas- sical Pearson statistics of independence at vari- ous lags in order to point out the presence lag- dependencies. This paper proposes an improve- ment of this diagram obtained by substituting the Pearson 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 financial data is also shown.