's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …

The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power …, extensive Monte Carlo results have proved it useful in relatively small samples. However, the BDS test is not trivial to … short paper presents a fast algorithm for the BDS statistic, and outlines how these speed improvements are achieved. Source …

's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram …

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …

The search for deterministic chaos in economic and financial time series has attracted much interest over the past …

Chaos theory offers to time series analysis new perspectives as well as concepts and ideas that have a through … interval to the estimates of the MLCE. It is shown that in addition to answering the question of the presence of chaos, these …

address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so … fixings, and the USD-JPY exchange rate. For each data set we apply surrogate data methods and nonlinearity tests to quantify … linear noise or conditional heteroskedastic models and that there therefore exists detectable deterministic nonlinearity that …