statsmodels.tsa.stattools.bds(x, max_dim=2, epsilon=None, distance=1.5)
[source]
Calculate the BDS test statistic for independence of a time series
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The null hypothesis of the test statistic is for an independent and identically distributed (i.i.d.) time series, and an unspecified alternative hypothesis.
This test is often used as a residual diagnostic.
The calculation involves matrices of size (nobs, nobs), so this test will not work with very long datasets.
Implementation conditions on the first m-1 initial values, which are required to calculate the m-histories: x_t^m = (x_t, x_{t-1}, … x_{t-(m-1)})
© 2009–2012 Statsmodels Developers
© 2006–2008 Scipy Developers
© 2006 Jonathan E. Taylor
Licensed under the 3-clause BSD License.
http://www.statsmodels.org/stable/generated/statsmodels.tsa.stattools.bds.html