Computes and prints the BDS test statistic for the null that
x is a series
of i.i.d. random variables.
bds.test (x, m = 2, eps = seq(0.5*sd(x),2*sd(x),length=4), trace = FALSE) print (object, digits = 4)
- a numeric vector or time series.
- an integer indicating that the BDS test statistic is computed for
- 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
- a logical indicating whether some informational output is traced.
- a list with class
- the number of digits to format real numbers.
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
Missing values are not allowed.
- A list with class
"bdstest"containing the following components:
statistic the values of the test statistic. p.value the p-values of the test. method a character string indicating what type of test was performed. parameter a list with the components
epscontaining the embedding dimensions and epsilon values for which the statistic is computed.
data.name a character string giving the name of the data.
J. B. Cromwell, W. C. Labys and M. Terraza (1994): Univariate Tests for Time Series Models, Sage, Thousand Oaks, CA, pp. 32-36.
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