Detecting serial dependencies with the reproducibility probability autodependogram |
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Authors: | Luca Bagnato Lucio De Capitani Antonio Punzo |
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Affiliation: | 1. Dipartimento di Discipline Matematiche, Finanza Matematica e Econometria, Università Cattolica del Sacro Cuore, Via Necchi 9, 20123, Milano, Italy 2. Dipartimento di Statistica e Metodi Quantitativi, Università di Milano-Bicocca, Via Bicocca degli Arcimboldi 8, 20126, Milano, Italy 3. Dipartimento di Economia e Impresa, Università di Catania, Corso Italia 55, 95129, Catania, Italy
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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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