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.
Lingua originale | English |
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pagine (da-a) | 233-254 |
Numero di pagine | 22 |
Rivista | Journal of Time Series Analysis |
Volume | 2012 |
DOI | |
Stato di pubblicazione | Pubblicato - 2012 |
Keywords
- Nonlinear time series
- Serial dependences