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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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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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Keywords

  • Nonlinear time series
  • Autodependencies
  • Autocorrelogram
  • Autodependogram
  • Reproducibility probability