A Generalized BDS Statistic
AbstractThe BDS statistic, rooted on the correlation integral, has been proven to be useful for different problems. But although the correlation integral is defined for any choice of delay time, the BDS statistic assumes delay time is one. As different studies have shown, an adequate choice of delay time is important in order to determine the dynamical properties of a system from an observed time series, specially when the data sets are small and there is some noise. This paper introduces a new statistic that generalizes BDS by allowing the choice of any delay time. Copyright Kluwer Academic Publishers 2004
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 24 (2004)
Issue (Month): 3 (September)
BDS test; chaos; delay coordinates method; nonlinearity;
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