statsmodels.tsa.stattools.bds¶
-
statsmodels.tsa.stattools.
bds
(x, max_dim=2, epsilon=None, distance=1.5)[source]¶ BDS Test Statistic for Independence of a Time Series
- Parameters
x : ndarray
Observations of time series for which bds statistics is calculated.
max_dim : int
The maximum embedding dimension.
epsilon : {float, None}, optional
The threshold distance to use in calculating the correlation sum.
distance : float, optional
Specifies the distance multiplier to use when computing the test statistic if epsilon is omitted.
- Returns
bds_stat : float
The BDS statistic.
pvalue : float
The p-values associated with the BDS statistic.
Notes
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)})