The Kullback–Leibler autodependogram

L. Bagnato, L. De Capitani and Antonio Punzo

Journal of Applied Statistics, 2016, vol. 43, issue 14, 2574-2594

Abstract: The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson $ \chi ^2 $ χ2-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 $ \chi ^2 $ χ2-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.

Date: 2016
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DOI: 10.1080/02664763.2016.1142943

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