Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2000) 1
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman …'s (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …, the algorithm also requires less memory and time. The two algorithms are compared using LeBaron's MS-DOS implementation in …