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.
2016
autocorrelogram; autodependogram; Epanechnikov kernel
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.11769/61863
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