BDS: MATLAB module to calculate Brock, Dechert & Scheinkman test for independence
[W, SIG, C, C1, K] = BDS (SERIES, MAXDIM, DISTANCE, METHOD, MAXRAM) uses the time-series vector SERIES (1) and the dimensional distance (either defined as fraction DISTANCE of the standard deviation of SERIES if FLAG = 0, or defined such that the one dimensional correlation integral of SERIES is equal to DISTANCE if FLAG = 1) to compute BDS statistics W for each dimension between 2 and MAXDIM, significance levels SIG at which the null hypotheses of no dependence are rejected against (almost) any type of linear and non-linear dependence, correlation integral estimates C for each dimension M between 2 and MAXDIM, first-order correlation integral estimates C1 computed over the last N-M+1 observations, and parameter estimate K.
|Date of creation:||30 Jun 1998|
|Date of revision:|
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