The Kullback–Leibler autodependogram

Luca Bagnato, L. De Capitani, A. Punzo

Research output: Contribution to journalArticlepeer-review

5 Citations (Scopus)


The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson chi-square 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-square 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.
Original languageEnglish
Pages (from-to)2574-2594
Number of pages21
JournalJournal of Applied Statistics
Publication statusPublished - 2016


  • Kullback–Leibler divergence
  • Nonlinear time series


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