Premium
The autodependogram: a graphical device to investigate serial dependences
Author(s) -
Bagnato Luca,
Punzo Antonio,
Nicolis Orietta
Publication year - 2012
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2011.00754.x
Subject(s) - series (stratigraphy) , contingency table , sort , mathematics , randomness , simple (philosophy) , nonlinear system , context (archaeology) , autocorrelation , algorithm , statistics , arithmetic , paleontology , philosophy , physics , epistemology , quantum mechanics , biology
In this article the serial dependences between the observed time series and the lagged series, taken into account one‐by‐one, are graphically analysed by what we have chosen to call the ‘autodependogram’. This tool is a sort of natural nonlinear counterpart of the well‐known autocorrelogram used in the linear context. The autodependogram is based on the simple idea of using, instead of autocorrelations at varying time lags, the χ 2 ‐test statistics applied to convenient contingency tables. The efficacy of this graphical device is confirmed by real and artificial time series and by simulations from certain classes of well‐known models, characterized by randomness and by different kinds of linear and nonlinear dependences.