BDS Test
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 = 3, eps = seq(0.5 * sd(x), 2 * sd(x), length = 4),
trace = FALSE)x |
a numeric vector or time series. |
m |
an integer indicating that the BDS test statistic is computed
for embedding dimensions |
eps |
a numeric vector of epsilon values for close points. The
BDS test is computed for each element of |
trace |
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
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.
There is a special print method for objects of class "bdstest"
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 |
data.name |
a character string giving the name of the data. |
B. LeBaron, Ported to R by A. Trapletti
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) # i.i.d. example x <- c(rnorm(50), runif(50)) bds.test(x) # not identically distributed x <- quadmap(xi = 0.2, a = 4.0, n = 100) bds.test(x) # not independent
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