[R] BDS test - results unclear to me
Nicolas Navet
Nicolas.Navet at loria.fr
Mon Aug 13 22:14:40 CEST 2007
Hello,
I would like to use the BDS test from the tseries package, but there is
something I don't understand in the results of the test. Let's say, I
want the BDS values for an embedding dimension equal to 2 :
> bds.test(c, m = 2, eps = seq(0.5 * sd(c), 2 * sd(c), length =
4),trace=FALSE);
Here are the outputs:
data: c
Embedding dimension = 2
Epsilon for close points = 0.0097 0.0194 0.0291 0.0388
Standard Normal =
[ 0.0097 ] [ 0.0194 ] [ 0.0291 ] [ 0.0388 ]
[ 2 ] 14.6006 13.9003 12.5745 11.4012
Now for dimension 3 (m=3), we obtain:
Standard Normal =
[ 0.0097 ] [ 0.0194 ] [ 0.0291 ] [ 0.0388 ]
[ 2 ] 14.5544 13.8758 12.5540 11.3897
[ 3 ] 20.9149 18.7640 16.1562 14.2518
what I don't understand is why the values for embedding dimension 2 are
not equal when BDS is computed with parameter m=2 and m=3, could someone
please explain that to me ? In the documentation, it is said that "m is
an integer indicating that the BDS test statistic is computed for
embedding dimensions 2, ..., m.", so why don't we get the same result in
both cases?
Thank you for your help,
Best regards,
Nicolas
More information about the R-help
mailing list