Mayer-Foulkes, David - In: Studies in Nonlinear Dynamics & Econometrics 4 (2007) 1, pp. 45-50
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 for any finite set of distances simultaneously, and...
