Independence in time series: another look at the BDS test

DOI10.1098/RSTA.1994.0098zbMath0859.62081OpenAlexW2102841858MaRDI QIDQ5687577

Rodney Carl Wolff

Publication date: 16 December 1996

Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rsta.1994.0098

zbMATH Keywords

chaospowersizetest of independencecorrelation integralPoisson lawChen-Stein methodgeometrical propertiestests for serial dependenceembedded time series

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45)

Related Items (5)

Asymptotic distributions of the correlation integral based statistics ⋮ Measures of Dependence and Tests of Independence ⋮ Correlation integral as a tool for distinguishing between dynamics and statistics in time series data ⋮ A modified BDS test ⋮ BINARY TIME SERIES GENERATED BY CHAOTIC LOGISTIC MAPS

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