矩阵分析理论65657.docVIP

function [w, sig, c, c1, k] = bds(series, maxdim, distance, flag, maxram) %BDS Brock, Dechert Scheinkman test for independence based on the correlation dimension % % [W, SIG, C, C1, K] = BDS (SERIES, MAXDIM, DISTANCE, METHOD, MAXRAM) % % uses - time-series vector SERIES (1), % - dimensional distance % * either defined as fraction DISTANCE of the standard deviation of SERIES % if FLAG = 0, % * or defined such that the one dimensional correlation integral of SERIES % is equal to DISTANCE if FLAG = 1 (2), % - not more than MAXRAM megabytes of memory for the computation (3), % % to compute - BDS statistics W for each dimension between 2 and MAXDIM (4), % - significance levels SIG at which the null hypotheses of no dependence are % rejected ASYMPTOTICALLY (use companion function BDSSIG.M for finite % samples) against (almost) any type of linear and non-linear dependence (5), % - correlation integral estimates C for each dimension M between 2 and MAXDIM, % - first-order correlation integral estimates C1 computed over the last N-M+1 % observations, and % - parameter estimate K (6). % % (1) SERIES is normally a vector of residuals obtained from a regression, but it can also % be any other stationary time series. % (2) The default settings are DISTANCE = 1.5 and FLAG = 0. The BDS statistic appears to % be most efficient estimated if the measure of dimensional distance EPSILON is chosen % such that the first-order correlation integral estimate (C1) lies around 0.7 (see % Kanzler, 1998, forthcoming). For settings DISTANCE = 0.7 and FLAG = 1, the % programme will chose EPSILON accordingly. Unfortunately, the cost of finding optimal % EPSILON is quite high in terms of CPU time and required memory. For a near-normal % distribution, the default settings achieve the same without any extra