Nuisance parameter free properties of correlation integral based statistics
研究了基于相关积分的统计量在使用动态模型估计残差时保持不变的充分条件，并将方法应用于非线性BDS检验。
This paper presents conditions under which statistics based on the correlation integral are invariant to the use of estimated residuals from dynamic models. The methods are applied to the so-called BDS test for nonlinearity, under a variety of data-generating processes.