Revised BDS test

In this paper, we focus on the BDS test, which is a nonparametric test of independence. Specifically, the null hypothesis H 0 of it is that { u t } is i.i.d. (independent and identically distributed), where { u t } is a random sequence. The BDS test is widely used in economics and finance, but it ha...

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Bibliographic Details
Published in:Applied Mathematics-A Journal of Chinese Universities 2024-12, Vol.39 (4), p.721-749
Main Authors: Luo, Wen-ya, Bai, Zhi-dong, Hu, Jiang, Wang, Chen
Format: Article
Language:English
Subjects:
Applications of Mathematics
Asymptotic properties
Correlation
Digital Object Identifier
Goodness of fit
Hypotheses
Mathematics
Mathematics and Statistics
Nonparametric statistics
Normality
Parameter estimation
Rejection
Time series
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