In this chapter the autodependogram is contextualized in model diagnostic checking for nonlinear models by studying the lag-dependencies of the residuals. Simulations are considered to evaluate its effectiveness in this context. An application to the Swiss Market Index is also provided.
|Title of host publication||Advances in Theoretical and Applied Statistics|
|Editors||NICOLA TORELLI, FORTUNATO PESARIN, AVNER BAR-HEN|
|Number of pages||11|
|Publication status||Published - 2013|
- Nonlinear time series