bds.test | 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.out = 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
```

tseries documentation built on May 2, 2023, 5:11 p.m.

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