x
is a series
of i.i.d. random variables. This test examines the "spatial dependence"
of the observed series. To do this, the series is embedded in
m
-space and the dependence of x
is examined by
counting "near" points. Points for which the distance is less than
eps
are called "near". The BDS test statistic is asymptotically
standard Normal.
Missing values are not handled.bds.test (x, m = 2, eps = seq(0.5*sd(x),2*sd(x),length=4), trace = FALSE)
2
, ..., m
.eps
. It
should be set in terms of the standard deviation of x
."bdstest"
containing the following components:m
and eps
containing the embedding dimensions and epsilon values for which the
statistic is computed.