The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. This paper proposes a normalization of this diagram taking into consideration the concept of reproducibility probability (RP). The result is a novel tool, named RP-autodependogram, which permits to study the strength and the stability of the evidence about the presence of lag-dependence. A simulation study on well-established time-series models is carried out to investigate the behavior of the RP-autodependogram also in comparison with other diagrams studying autodependencies. An application to financial data is finally considered to appreciate its usefulness in the identification of parametric/nonparametric models.
|Titolo:||Detecting serial dependencies with the reproducibility probability autodependogram|
|Autori interni:||PUNZO, ANTONIO|
|Data di pubblicazione:||2014|
|Rivista:||ASTA ADVANCES IN STATISTICAL ANALYSIS|
|Appare nelle tipologie:||1.1 Articolo in rivista|