tseries (version 0.5-2)

bds.test: BDS Test

Description

Computes and prints the BDS test statistic for the null that 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 allowed.

Usage

bds.test (x, m = 2, eps = seq(0.5*sd(x),2*sd(x),length=4), trace =
          FALSE)
print (object, digits = 4)

Arguments

x
a numeric vector or time series.
m
an integer indicating that the BDS test statistic is computed for embedding dimensions 2, ..., m.
eps
a numeric vector of epsilon values for close points. The BDS test is computed for each element of eps. It should be set in terms of the standard deviation of x.
trace
a logical indicating whether some informational output is traced.
object
a list with class "bdstest".
digits
the number of digits to format real numbers.

Value

  • A list with class "bdstest" containing the following components:
  • statisticthe values of the test statistic.
  • p.valuethe p-values of the test.
  • methoda character string indicating what type of test was performed.
  • parametera list with the components m and eps containing the embedding dimensions and epsilon values for which the statistic is computed.
  • data.namea character string giving the name of the data.

References

J. B. Cromwell, W. C. Labys and M. Terraza (1994): Univariate Tests for Time Series Models, Sage, Thousand Oaks, CA, pp. 32-36.

Examples

Run this code
x <- rnorm (100)
bds.test (x, m = 3)  # i.i.d. example

x <- c (rnorm(50), runif(50))
bds.test (x, m = 3)  # not identically distributed

x <- quadmap (xi = 0.2, a = 4.0, n = 100)
bds.test (x, m = 3)  # not independent

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