bds.test {tseries} | R Documentation |
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)
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. |
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.
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 m and eps
containing the embedding dimensions and epsilon values for which the
statistic is computed. |
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, 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