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

Risultato della ricerca: Contributo in libro › Chapter

6 Citazioni (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.

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
DOI	https://doi.org/10.1007/978-3-642-35588-2_13
Stato di pubblicazione	Pubblicato - 2013

Keywords

Autodependogram
Nonlinear time series

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

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KW - Nonlinear time series

KW - Autodependogram

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M3 - Chapter

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BT - Advances in Theoretical and Applied Statistics

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A2 - PESARIN, FORTUNATO

A2 - BAR-HEN, AVNER

ER -

Using the Autodependogram in Model Diagnostic Checking

Abstract

Keywords

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