Nonlinear Correlograms and Partial Autocorrelograms*

Heather Anderson and Farshid Vahid

Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue s1, 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.

Date: 2005
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https://doi.org/10.1111/j.1468-0084.2005.00147.x

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Working Paper: Nonlinear Correlograms and Partial Autocorrelograms (2003)
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