Skip to main content
SpringerLink
Log in
Book cover

Advances in Theoretical and Applied Statistics pp 129–139Cite as

Using the Autodependogram in Model Diagnostic Checking

  • Chapter
  • First Online:

Part of the book series: Studies in Theoretical and Applied Statistics ((STASSPSS))

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.

This is a preview of subscription content, log in via an institution.

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   84.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   109.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD   109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

References

  1. Bagnato, L.: Nonparametric ARCH with additive mean and multiplicative volatility: A new estimation procedure. Statistica & Applicazioni VII(1), 63–76 (2009)

    Google Scholar 

  2. Bagnato, L., Punzo, A.: On the use of χ 2-test to check serial independence. Statistica & Applicazioni VIII(1), 57–74 (2010)

    Google Scholar 

  3. Bagnato, L., Punzo, A.: Checking serial independence of residuals from a nonlinear model. In: Gaul, W., Geyer-shulz, A., Schmidt-thieme, L., Kunze, J. (eds.) Challenges at the Interface of Data Analysis, Computer Science, and Optimization, Studies in Classification, Data Analysis and Knowledge Organization, pp. 203–211. Springer, Berlin-Heidelberg (2012)

    Chapter  Google Scholar 

  4. Bagnato, L., Punzo, A., Nicolis, O.: The autodependogram: a graphical device to investigate serial dependences. J. Time Anal. 33(2), 233–254 (2012)

    Article  MathSciNet  Google Scholar 

  5. Cochran, W.G.: Some methods for strengthening the common χ 2 tests. Biometrics 10(4), 417–451 (1954)

    Article  MathSciNet  MATH  Google Scholar 

  6. Jianqing, F., Qiwei, Y.: Nonlinear Time Series: Nonparametric and Parametric Methods. Springer, New York (2003)

    MATH  Google Scholar 

  7. Mann, H.B., Wald, A.: On the choice of the number of intervals in the application of the chi-square test. Ann. Math. Stat. 13(3), 306–317 (1942)

    Article  MathSciNet  MATH  Google Scholar 

  8. R Development Core Team: R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing, Vienna (2011). ISBN 3-900051-07-0

    Google Scholar 

  9. Yang, L., Härdle, W., Nielsen, J.P.: Nonparametric autoregression with multiplicative volatility and additive mean. J. Time Anal. 20(5), 579–604 (1999)

    Article  MATH  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Dipartimento di Discipline Matematiche, Finanza Matematica e Econometria, Università Cattolica del Sacro Cuore, Milan, Italy

    Luca Bagnato

  2. Dipartimento di Economia e Impresa, Università di Catania, Catania, Italy

    Antonio Punzo

Authors
  1. Luca Bagnato
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Antonio Punzo
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Luca Bagnato .

Editor information

Editors and Affiliations

  1. Department of Statistics, University of Trieste, P.le Europa 1, Trieste, 34127, Italy

    Nicola Torelli

  2. Department of Statistics, University of Padua, Via Cesare Battisti 241, Padova, 35121, Italy

    Fortunato Pesarin

  3. Université Paris Descartes, rue des Saints-Pères 45, Paris, 75270, France

    Avner Bar-Hen

Rights and permissions

Reprints and permissions

Copyright information

© 2013 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Bagnato, L., Punzo, A. (2013). Using the Autodependogram in Model Diagnostic Checking. In: Torelli, N., Pesarin, F., Bar-Hen, A. (eds) Advances in Theoretical and Applied Statistics. Studies in Theoretical and Applied Statistics(). Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-35588-2_13

Download citation

Publish with us

Policies and ethics

Search

Navigation