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.
- x
- Returns
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)})