statsmodels.tsa.stattools.bds

statsmodels.tsa.stattools.bds(x, max_dim=2, epsilon=None, distance=1.5)

Calculate the BDS test statistic for independence of a time series

Parameters

x1d array

observations of time series for which bds statistics is calculated

max_diminteger

maximum embedding dimension

epsilonscalar, optional

the threshold distance to use in calculating the correlation sum

distancescalar, optional

if epsilon is omitted, specifies the distance multiplier to use when computing it

Returns

bds_statfloat

The BDS statistic

pvaluefloat

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)})