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. 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.
bds.test (x, m = 2, eps = seq(0.5*sd(x),2*sd(x),length=4), trace = FALSE) print (obj, 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. |
obj |
a list with class "bdstest" . |
digits |
the number of digits to format real numbers. |
"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