SDD: An R Package for Serial Dependence Diagrams

Detecting and measuring lag-dependencies is very important in time-series analysis.This study is commonly carried out by focusing on the linear lag-dependencies via thewell-known autocorrelogram. However, in practice, there are many situations in whichthe autocorrelogram fails because of the nonlinear structure of the serial dependence.To cope with this problem, in this paper the R package SDD is introduced. Among theavailable approaches to analyze the lag-dependencies in an omnibus way, the SDD packageconsiders the autodependogram and some of its variants. The autodependogram, denedcomputing the classical Pearson 2-statistic at various lags, is a graphical device recentlyproposed in the literature to analyze lag-dependencies. The concept of reproducibilityprobability, and several density-based measures of divergence, are considered to dene thevariants of the autodependogram. An application to daily returns of the Swiss MarketIndex is also presented to exemplify the use of the package