Nonlinear Correlograms and Partial Autocorrelograms

Heather M. Anderson and Farshid Vahid ()

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue s1, pages 957-982

Abstract: This paper proposes neural network-based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely on nonparametric estimation of densities or multivariate integration, our autocorrelograms are simple to calculate and appear to work well in relatively small samples. Copyright 2005 Blackwell Publishing Ltd.

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