Independence in time series: another look at the BDS test
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Publication:5687577
DOI10.1098/rsta.1994.0098zbMath0859.62081MaRDI QIDQ5687577
Publication date: 16 December 1996
Published in: Philosophical Transactions of the Royal Society of London. Series A: Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rsta.1994.0098
chaos; power; size; test of independence; correlation integral; Poisson law; Chen-Stein method; geometrical properties; tests for serial dependence; embedded time series
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
37D45: Strange attractors, chaotic dynamics of systems with hyperbolic behavior
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