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Detecting serial dependencies with the reproducibility probability autodependogram

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Abstract

The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. This paper proposes a normalization of this diagram taking into consideration the concept of reproducibility probability (RP). The result is a novel tool, named RP-autodependogram, which permits to study the strength and the stability of the evidence about the presence of lag-dependence. A simulation study on well-established time-series models is carried out to investigate the behavior of the RP-autodependogram also in comparison with other diagrams studying autodependencies. An application to financial data is finally considered to appreciate its usefulness in the identification of parametric/nonparametric models.

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Authors and Affiliations

  1. Dipartimento di Discipline Matematiche, Finanza Matematica e Econometria, Università Cattolica del Sacro Cuore, Via Necchi 9, 20123, Milano, Italy

    Luca Bagnato

  2. Dipartimento di Statistica e Metodi Quantitativi, Università di Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126, Milano, Italy

    Lucio De Capitani

  3. Dipartimento di Economia e Impresa, Università di Catania, Corso Italia 55, 95129, Catania, Italy

    Antonio Punzo

Authors
  1. Luca Bagnato
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  2. Lucio De Capitani
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  3. Antonio Punzo
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Correspondence to Antonio Punzo.

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Bagnato, L., De Capitani, L. & Punzo, A. Detecting serial dependencies with the reproducibility probability autodependogram. AStA Adv Stat Anal 98, 35–61 (2014). https://doi.org/10.1007/s10182-013-0208-y

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  • DOI: https://doi.org/10.1007/s10182-013-0208-y

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