Using the Autodependogram in Model Diagnostic Checking

Luca Bagnato; Antonio Punzo

doi:10.1007/978-3-642-35588-2_13

Using the Autodependogram in Model Diagnostic Checking

Luca Bagnato, Antonio Punzo

University of Catania

Research output: Chapter in Book/Report/Conference proceeding › Chapter

6 Citations (Scopus)

Abstract

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.

Original language	English
Title of host publication	Advances in Theoretical and Applied Statistics
Editors	NICOLA TORELLI, FORTUNATO PESARIN, AVNER BAR-HEN
Pages	129-139
Number of pages	11
DOIs	https://doi.org/10.1007/978-3-642-35588-2_13
Publication status	Published - 2013

Keywords

Autodependogram
Nonlinear time series

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10.1007/978-3-642-35588-2_13

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title = "Using the Autodependogram in Model Diagnostic Checking",

abstract = "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.",

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author = "Luca Bagnato and Antonio Punzo",

year = "2013",

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language = "English",

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T1 - Using the Autodependogram in Model Diagnostic Checking

AU - Bagnato, Luca

AU - Punzo, Antonio

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AB - 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.

KW - Autodependogram

KW - Nonlinear time series

KW - Autodependogram

KW - Nonlinear time series

UR - http://hdl.handle.net/10807/46591

UR - http://link.springer.com/chapter/10.1007/978-3-642-35588-2_13

U2 - 10.1007/978-3-642-35588-2_13

DO - 10.1007/978-3-642-35588-2_13

M3 - Chapter

SN - 978-3-642-35587-5

SP - 129

EP - 139

BT - Advances in Theoretical and Applied Statistics

A2 - TORELLI, NICOLA

A2 - PESARIN, FORTUNATO

A2 - BAR-HEN, AVNER

ER -

Using the Autodependogram in Model Diagnostic Checking

Abstract

Keywords

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