Detecting serial dependencies with the reproducibility probability autodependogram

Luca Bagnato (), Lucio De Capitani () and Antonio Punzo

AStA Advances in Statistical Analysis, 2014, vol. 98, issue 1, 35-61

Abstract: The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. This paper proposes a normalization of this diagram taking into consideration the concept of reproducibility probability (RP). The result is a novel tool, named RP-autodependogram, which permits to study the strength and the stability of the evidence about the presence of lag-dependence. A simulation study on well-established time-series models is carried out to investigate the behavior of the RP-autodependogram also in comparison with other diagrams studying autodependencies. An application to financial data is finally considered to appreciate its usefulness in the identification of parametric/nonparametric models. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Nonlinear time series; Autodependencies; Autocorrelogram; Autodependogram; Reproducibility probability (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:alstar:v:98:y:2014:i:1:p:35-61

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DOI: 10.1007/s10182-013-0208-y

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