Computes and prints the BDS test statistic for the null that
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)
- a numeric vector or time series.
- an integer indicating that the BDS test statistic is computed
for embedding dimensions
- 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.
This test examines the ``spatial dependence'' of the observed
series. To do this, the series is embedded in
m-space and the
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.
There is a special print method for objects of class
which by default uses 4 digits to format real numbers.
- 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, pages 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