Abstract
The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. This paper proposes a normalization of this diagram taking into consideration the concept of reproducibility probability (RP). The result is a novel tool, named RP-autodependogram, which permits to study the strength and the stability of the evidence about the presence of lag-dependence. A simulation study on well-established time-series models is carried out to investigate the behavior of the RP-autodependogram also in comparison with other diagrams studying autodependencies. An application to financial data is finally considered to appreciate its usefulness in the identification of parametric/nonparametric models.
Lingua originale | English |
---|---|
pagine (da-a) | 35-61 |
Numero di pagine | 27 |
Rivista | AStA Advances in Statistical Analysis |
Volume | 98 |
DOI | |
Stato di pubblicazione | Pubblicato - 2014 |
Keywords
- Autocorrelogram
- Autodependogram