Detecting and measuring lag-dependencies is very im- portant in time-series analysis. This study is commonly car- ried out by focusing on the linear lag-dependencies via the well-known autocorrelogram. However, in practice, there are many situations in which the autocorrelogram fails be- cause of the nonlinear structure of the serial dependence. To cope with this problem, in this paper the R package SDD is introduced. Among the available approaches to an- alyze the lag-dependencies in an omnibus way, the SDD package considers the autodependogram and some its vari- ants. The autodependogram, defined computing the classi- cal Pearson χ 2 -statistics of independence at various lags, is a graphical device recently proposed in the literature to ana- lyze lag-dependencies. The concept of reproducibility prob- ability, and several density-based measures of divergence, are considered to define the variants of the autodependo- gram. An application to daily returns of the Swiss Market Index is also presented to exemplify the use of the package.

SDD: An R package for Serial Dependence Diagrams

MAZZA, Angelo;PUNZO, ANTONIO
2013

Abstract

Detecting and measuring lag-dependencies is very im- portant in time-series analysis. This study is commonly car- ried out by focusing on the linear lag-dependencies via the well-known autocorrelogram. However, in practice, there are many situations in which the autocorrelogram fails be- cause of the nonlinear structure of the serial dependence. To cope with this problem, in this paper the R package SDD is introduced. Among the available approaches to an- alyze the lag-dependencies in an omnibus way, the SDD package considers the autodependogram and some its vari- ants. The autodependogram, defined computing the classi- cal Pearson χ 2 -statistics of independence at various lags, is a graphical device recently proposed in the literature to ana- lyze lag-dependencies. The concept of reproducibility prob- ability, and several density-based measures of divergence, are considered to define the variants of the autodependo- gram. An application to daily returns of the Swiss Market Index is also presented to exemplify the use of the package.
978-88-343-2627-5
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/20.500.11769/116820
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