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: | |
Data di pubblicazione: | 2014 |
Rivista: | |
Citazione: | Detecting serial dependencies with the reproducibility probability autodependogram / Bagnato L; De Capitani L; Punzo A. - In: ASTA ADVANCES IN STATISTICAL ANALYSIS. - ISSN 1863-8171. - 98:1(2014), pp. 35-61. |
Handle: | http://hdl.handle.net/20.500.11769/14780 |
Appare nelle tipologie: | 1.1 Articolo in rivista |
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