A Fast Algorithm for the BDS Statistic

DOI10.2202/1558-3708.1029MaRDI QIDQ3368207zbMATH OpenOpenAlexFDO

Authors Blake LeBaron

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1029

zbMATH Keywords

BDSchaosnonlinearityspecification testing

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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(8)

• The BDS statistic and residual test
• A generalized BDS statistic
• Time series analysis for minority game simulations of financial markets
• Statistical properties of genetic learning in a model of exchange rate
• Linear and nonlinear causality between signals: methods, examples and neurophysiological applications
• A generalized fast algorithm for BDS-type statistics
• A monte carlo investigation of the BDS statistic
• Revised BDS test

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