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.
|Titolo:||The Kullback-Leibler autodependogram|
|Data di pubblicazione:||2016|
|Appare nelle tipologie:||1.1 Articolo in rivista|