The Kullback–Leibler autodependogram

DOI10.1080/02664763.2016.1142943OpenAlexW2337790911MaRDI QIDQ5138190

Antonio Punzo, Lucio De Capitani, Luca Bagnato

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664763.2016.1142943

zbMATH Keywords

permutationsKullback-Leibler divergencenonlinear time seriesEpanechnikov kernelautocorrelogramautodependogram

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Testing in survival analysis and censored data (62N03) Diagnostics, and linear inference and regression (62J20)

Related Items (1)

Nonparametric dependence modeling via cluster analysis: A financial contagion application

Uses Software

• R
• sm
• SDD

Cites Work

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• Using the Autodependogram in Model Diagnostic Checking
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• Measuring nonlinear dependence in time-series, a distance correlation approach
• Modelling the persistence of conditional variances
• A Dependence Metric for Possibly Nonlinear Processes
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Testing Statistical Hypotheses
• Consistent Nonparametric Entropy-Based Testing

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