A diagram to detect serial dependencies: an application to transport time series
| Autor: | Antonio Punzo, Lucio De Capitani, Luca Bagnato |
|---|---|
| Přispěvatelé: | Bagnato, L, De Capitani, L, Punzo, A |
| Jazyk: | angličtina |
| Rok vydání: | 2017 |
| Předmět: |
Statistics and Probability
Normalization (statistics) Settore SECS-S/03 - STATISTICA ECONOMICA Serial dependence Bar chart computer.software_genre 01 natural sciences law.invention 010104 statistics & probability symbols.namesake law 0502 economics and business Multi-way contingency table 0101 mathematics Statistic 050205 econometrics Mathematics Pairwise independence 05 social sciences Pearson's chi-squared test General Social Sciences Reproducibility probability Nonlinear system Ljung–Box test Settore SECS-S/01 - STATISTICA Settore SECS-P/05 - ECONOMETRIA symbols Pairwise comparison Chi-squared statistic Data mining Algorithm computer |
| Popis: | The Ljung–Box test is typically used to test serial independence even if, by construction, it is generally powerful only in presence of pairwise linear dependence between lagged variables. To overcome this problem, Bagnato et al. recently proposed a simple statistic defining a serial independence test which, differently from the Ljung–Box test, is powerful also under a linear/nonlinear dependent process characterized by pairwise independence. The authors also introduced a normalized bar diagram, based on p-values from the proposed test, to investigate serial dependence. This paper proposes a balanced normalization of such a diagram taking advantage of the concept of reproducibility probability. This permits to study the strength and the stability of the evidence about the presence of the dependence under investigation. An illustrative example based on an artificial time series, as well as an application to a transport time series, are considered to appreciate the usefulness of the proposal. |
| Databáze: | OpenAIRE |
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