The Kullback-Leibler autodependogram

The autodependogram is a graphical device recently proposed in the literature to analyze autodependencies. It is defined computing the classical Pearson $$-statistics of independence at various lags in order to point out the presence lag-depedencies. This paper proposes an improvement of this diagram obtained by substituting the $$-statistics with an estimator of the Kullback-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 a well-known financial time series is also shown.