Improving the autodependogram using the Kulback-Leibler divergence
Abstract
The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson chi-square statistics of independence at various lags in order to point out the presence lag-depedencies. This paper proposes an improvement of this diagram obtained by substituting the chi-square statistics with an estimator of the Kulback-Leibler divergence between the bivariate density of two delayed variables and the product of their marginal distributions. A simulation study, on well-established time series models, shows that this new autodependogram is more powerful than the previous one. An application to financial data is also shown.
Keywords
Cite
@article{arxiv.1306.5006,
title = {Improving the autodependogram using the Kulback-Leibler divergence},
author = {Luca Bagnato and Lucio De Capitani and Antonio Punzo},
journal= {arXiv preprint arXiv:1306.5006},
year = {2015}
}
Comments
We have decided to withdraw the paper due to a crucial error in equation (9), that is in the definition of the p-value. This invalidates the results reported into the manuscript