The autodependogram: a graphical device to investigate serial dependences

Luca Bagnato, Antonio Punzo, Orietta Nicolis

Research output: Contribution to journalArticlepeer-review

16 Citations (Scopus)

Abstract

In this article the serial dependences between the observed time series and the lagged series, taken into account one-by-one, are graphically analysed by what we have chosen to call the “autodependogram”. This tool is a sort of natural nonlinear counterpart of the well-known autocorrelogram used in the linear context. The autodependogram is based on the simple idea of using, instead of autocorrelations at varying time lags, the chi-square test statistics applied to convenient contingency tables. The efficacy of this graphical device is confirmed by real and artificial time series and by simulations from certain classes of well-known models, characterized by randomness and by different kinds of linear and nonlinear dependences.
Original languageEnglish
Pages (from-to)233-254
Number of pages22
JournalJournal of Time Series Analysis
Volume2012
DOIs
Publication statusPublished - 2012

Keywords

  • Nonlinear time series
  • Serial dependences

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