"BDS test" examines whether the given signal is deterministic or stochastic. It is based on a calculation of the Correlation integral .
If the test value
with a known distribution function is significantly different from a
standard normal distribution, it can be concluded that the given
signal is deterministic. The decision whether a significant difference
of the distribution functions is given can be made performing a
Gauss test (Test for non-normal-distributed data).
The F(m) values are returned as a signal and displayed in the message window as well.
The signal returned from BDS test contains F(m).
- maximum embedding dimension mmax
- relative radius r.
Note that since this function operates on a 'pure' time series, the scale and the shift of the given signal do not affect the result.
Typically, the relative radius should be about 0.1 or 0.2.
y = BDSTest(x,mmax,r);
Correlation integral, Kolmogorov-Smirnov test,
Test for different histograms,
Test for different means, Test for different variances,
Test for non-normal-distributed data,
Test for non-white-noise,
Test for the mean of a Gaussian, Test for the variance of a Gaussian,
Brock et al.