bds.test

0th

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BDS Test

Computes and prints the BDS test statistic for the null that x is a series of i.i.d. random variables.

Keywords
ts
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.
Details

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.

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.

Aliases
• bds.test
• print.bdstest
Examples
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
Documentation reproduced from package tseries, version 0.7-4, License: GPL (see file COPYING), except for ./src/muin2ser.f and ./misc which are free for non-commercial purposes. See file README for details.

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