Using the Autodependogram in Model Diagnostic Checking

DOI10.1007/978-3-642-35588-2_13MaRDI QIDQ2930696zbMATH OpenOpenAlexFDO

Authors Luca Bagnato, Antonio Punzo

Publication date 19 November 2014

Published in Advances in Theoretical and Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35588-2_13

zbMATH Keywords

nonlinear time seriesserial independencemodel diagnostic checkingautodependogram\(\chi^2\)-test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(4)

• The Kullback-Leibler autodependogram
• The autodependogram: a graphical device to investigate serial dependences
• Detecting serial dependencies with the reproducibility probability autodependogram
• Nonparametric dependence modeling via cluster analysis: A financial contagion application

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