Hi Nicolas Most likely because the higher embedding dimension uses less data points, even when applied to the lower dimension. Therefore, the actual numbers should be similar, but do not exactly match. But it's a very long time ago I last touched this code. So pls read bdstest.c from tseries to be sure.
Best regards Adrian > Subject: > [R] BDS test - results unclear to me > From: > Nicolas Navet <[EMAIL PROTECTED]> > Date: > Mon, 13 Aug 2007 22:14:40 +0200 > > To: > r-help@stat.math.ethz.ch > > > Hello, > > I would like to use the BDS test from the tseries package, but there > is something I don't understand in the results of the test. Let's say, > I want the BDS values for an embedding dimension equal to 2 : > > > bds.test(c, m = 2, eps = seq(0.5 * sd(c), 2 * sd(c), length = > 4),trace=FALSE); > Here are the outputs: > data: c > Embedding dimension = 2 > Epsilon for close points = 0.0097 0.0194 0.0291 0.0388 > Standard Normal = > [ 0.0097 ] [ 0.0194 ] [ 0.0291 ] [ 0.0388 ] > [ 2 ] 14.6006 13.9003 12.5745 11.4012 > > > Now for dimension 3 (m=3), we obtain: > > Standard Normal = > [ 0.0097 ] [ 0.0194 ] [ 0.0291 ] [ 0.0388 ] > [ 2 ] 14.5544 13.8758 12.5540 11.3897 > [ 3 ] 20.9149 18.7640 16.1562 14.2518 > > what I don't understand is why the values for embedding dimension 2 > are not equal when BDS is computed with parameter m=2 and m=3, could > someone please explain that to me ? In the documentation, it is said > that "m is an integer indicating that the BDS test statistic is > computed for embedding dimensions 2, ..., m.", so why don't we get the > same result in both cases? > > Thank you for your help, > Best regards, > > Nicolas > -- Adrian Trapletti Wildsbergstrasse 31 8610 Uster Switzerland Phone : +41 (0) 44 9945630 Mobile : +41 (0) 76 3705631 Email : [EMAIL PROTECTED] ______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
