Improving the autodependogram using the Kulback-Leibler divergence

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.

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