The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson (Formula presented.)-statistics of independence at various lags in order to point out the presence lag-depedencies. This paper proposes an improvement of this diagram obtained by substituting the (Formula presented.)-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 a well-known financial time series is also shown.
The Kullback-Leibler autodependogram
PUNZO, ANTONIO
2016-01-01
Abstract
The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson (Formula presented.)-statistics of independence at various lags in order to point out the presence lag-depedencies. This paper proposes an improvement of this diagram obtained by substituting the (Formula presented.)-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 a well-known financial time series is also shown.File | Dimensione | Formato | |
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Bagnato, De Capitani & Punzo (2016) - JAS.pdf
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