SDD: An R Package for Serial Dependence Diagrams

Luca Bagnato, Lucio De Capitani, Angelo Mazza, Antonio Punzo

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)

Abstract

Detecting and measuring lag-dependencies is very important in time-series analysis. This study is commonly carried out by focusing on the linear lag-dependencies via the well-known autocorrelogram. However, in practice, there are many situations in which the autocorrelogram fails because of the nonlinear structure of the serial dependence. To cope with this problem, in this paper the R package SDD is introduced. Among the available approaches to analyze the lag-dependencies in an omnibus way, the SDD package considers the autodependogram and some its variants. The autodependogram, de ned computing the classical Pearson chi-square statistics of independence at various lags, is a graphical device recently proposed in the literature to analyze lag-dependencies. The concept of reproducibility probability, and several density-based measures of divergence, are considered to de ne the variants of the autodependogram. An application to daily returns of the Swiss Market Index is also presented to exemplify the use of the package.
Original languageEnglish
Pages (from-to)1-19
Number of pages19
JournalJournal of Statistical Software
Publication statusPublished - 2015

Keywords

  • Autocorrelogram
  • Autodependogram
  • Serial dependence

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