TY - JOUR
T1 - The Kullback–Leibler autodependogram
AU - Bagnato, Luca
AU - De Capitani, L.
AU - Punzo, A.
PY - 2016
Y1 - 2016
N2 - 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.
AB - 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.
KW - Kullback–Leibler divergence
KW - Nonlinear time series
KW - Kullback–Leibler divergence
KW - Nonlinear time series
UR - http://hdl.handle.net/10807/76082
U2 - 10.1080/02664763.2016.1142943
DO - 10.1080/02664763.2016.1142943
M3 - Article
SN - 0266-4763
VL - (43)14
SP - 2574
EP - 2594
JO - Journal of Applied Statistics
JF - Journal of Applied Statistics
ER -