AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
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Publication:4471127
DOI10.1081/ETC-100104938zbMath1047.62038OpenAlexW1971052847MaRDI QIDQ4471127
Publication date: 18 June 2004
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1081/etc-100104938
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Dynamical systems in optimization and economics (37N40)
Related Items (7)
Chaos measure dynamics in a multifactor model for financial market predictions ⋮ Reconstructing nonlinear structure in regression residuals ⋮ Optimal Range for the iid Test Based on Integration Across the Correlation Integral ⋮ Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes ⋮ A modified BDS test ⋮ A Note on Resampling the Integration Across the Correlation Integral with Alternative Ranges ⋮ Identification and verification of chaotic dynamics in a missile system from experimental time series
Cites Work
- Measuring the strangeness of strange attractors
- Chaos in East European black market exchange rates
- Distinguishing random and deterministic systems: Abridged version
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A test for independence based on the correlation dimension
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