In this paper the serial dependences between the observed time series and the lagged series, taken into account one-by-one, are graphically analyzed 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 simple idea, instead of using autocorrelations at varying time lags, exploits the c2-test statistics applied to convenient contingency tables. The usefulness of this graphical device is confirmed by simulations from certain classes of well-known models, characterized by randomness and also by different kinds of linear and nonlinear dependences. The autodependogram is also applied to both environmental and economic real data. In this way its ability to detect nonlinear features is highlighted.
Bagnato, L., Punzo, A., & Nicolis, O. (2011). The Autodependogram: A Graphical Device to Investigate Serial Dependences [Working paper del dipartimento].
Citazione: | Bagnato, L., Punzo, A., & Nicolis, O. (2011). The Autodependogram: A Graphical Device to Investigate Serial Dependences [Working paper del dipartimento]. |
Titolo: | The Autodependogram: A Graphical Device to Investigate Serial Dependences |
Autori: | Bagnato, L; Punzo, A; Nicolis,O |
Autori: | |
Presenza di un coautore afferente ad Istituzioni straniere: | No |
Carattere della pubblicazione: | Scientifica |
DCMI: | Working paper del dipartimento |
Data di pubblicazione: | 2011 |
Lingua: | English |
Appare nelle tipologie: | 99 - Altro |
File in questo prodotto:
File | Descrizione | Tipologia | Licenza | |
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Technical Autodependogram.pdf | N/A | Open Access Visualizza/Apri |