[R-SIG-Finance] BDS TEST

[Robert Iquiapaza]

?bds.test
http://bit.ly/QwCvgd
regards


-----Mensagem Original----- 
From: Evelyn Nyamadi
Sent: Saturday, November 10, 2012 7:45 AM
To: r-sig-finance at r-project.org
Subject: [R-SIG-Finance] BDS TEST

   Dear All,

Please, I carried out a bds test. Any references to help interpret this 
results.
regards,
Eve


     BDS Test

data:  Csvar

Embedding dimension =  2 3 4 5

Epsilon for close points =  0.1648 0.3297 0.4945 0.6594

Standard Normal =
      [ 0.1648 ] [ 0.3297 ] [ 0.4945 ] [ 0.6594 ]
[ 2 ]     3.3148     2.9082     2.5521     2.4263
[ 3 ]     2.3626     2.2866     2.3850     2.6955
[ 4 ]     2.6418     2.4784     2.5628     2.8879
[ 5 ]     2.8075     2.7720     2.7625     2.8041

p-value =
      [ 0.1648 ] [ 0.3297 ] [ 0.4945 ] [ 0.6594 ]
[ 2 ]     0.0009     0.0036     0.0107     0.0153
[ 3 ]     0.0181     0.0222     0.0171     0.0070
[ 4 ]     0.0082     0.0132     0.0104     0.0039
[ 5 ]     0.0050     0.0056     0.0057     0.0050
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