Optimal Range for the iid Test Based on Integration Across the Correlation Integral
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chaoscorrelation integralhigh-frequency economic and financial dataMonte Carlononlinear dynamicspower testssingle-blind competitiontables
Dynamical systems in optimization and economics (37N40) Applications of dynamical systems (37N99) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)
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Cites work
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- AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL
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- The effect of (mis-specified) GARCH filters on the finite sample distribution of the BDS test
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