| 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 = 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 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. |
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 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, 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