AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL

DOI10.1081/ETC-100104938zbMath1047.62038OpenAlexW1971052847MaRDI QIDQ4471127

Evžen Kočenda

Publication date: 18 June 2004

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/etc-100104938

zbMATH Keywords

chaosMonte Carlononlinear dynamicsexchange ratescorrelation integral

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Dynamical systems in optimization and economics (37N40)

Related Items (7)

Chaos measure dynamics in a multifactor model for financial market predictions ⋮ Reconstructing nonlinear structure in regression residuals ⋮ Optimal Range for the iid Test Based on Integration Across the Correlation Integral ⋮ Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes ⋮ A modified BDS test ⋮ A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges ⋮ Identification and verification of chaotic dynamics in a missile system from experimental time series

Cites Work

• Measuring the strangeness of strange attractors
• Chaos in East European black market exchange rates
• Distinguishing random and deterministic systems: Abridged version
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A test for independence based on the correlation dimension

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