Detecting serial dependencies with the reproducibility probability autodependogram

Luca Bagnato, Lucio De Capitani, Antonio Punzo

Research output: Contribution to journalArticlepeer-review

7 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)35-61
Number of pages27
JournalAStA Advances in Statistical Analysis
Volume98
DOIs
Publication statusPublished - 2014

Keywords

  • Autocorrelogram
  • Autodependogram

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