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.
| Lingua originale | English |
|---|---|
| Titolo della pubblicazione ospite | Advances in Theoretical and Applied Statistics |
| Editor | NICOLA TORELLI, FORTUNATO PESARIN, AVNER BAR-HEN |
| Pagine | 129-139 |
| Numero di pagine | 11 |
| Stato di pubblicazione | Pubblicato - 2013 |
Keywords
- Autodependogram
- Nonlinear time series