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Nonlinear Correlograms and Partial Autocorrelograms

Anderson, Heather; Vahid, Farshid

Description

This paper proposes neural network-based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely

CollectionsANU Research Publications
Date published: 2005
Type: Journal article
URI: http://hdl.handle.net/1885/79271
Source: Oxford Bulletin of Economics and Statistics
DOI: 10.1111/j.1468-0084.2005.00147.x

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