Test of non-linearity

Version 1.0.0.0 (4.43 KB) by Adrian Barnett
A bootstrap test of non-linearity for time series data
5.0
(6)
2.9K Downloads
Updated 30 Aug 2007

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There are three M-files:
1. third.m, calculates the third-order moment for a time series
2. aaft.m, calculates the Amplitude Adjusted Fourier Transform (for more details see: D. Kugiumtzis, Surrogate data test for nonlinearity including monotonic transformations, Phys Rev E, vol. 62, 1, 2000)
3. boot.m, uses the above two m-files to calculate a bootstrap test of non-linearity. The graphical output from the test is useful for: a) identifying the type of non-linearity, and b)informally checking non-stationarity.

Full details of the test are in the paper: Barnett & Wolff, A Time-Domain Test for Some Types of Nonlinearity, IEEE Transactions on Signal Processing (2005, vol 53, issue 1).

Cite As

Adrian Barnett (2024). Test of non-linearity (https://www.mathworks.com/matlabcentral/fileexchange/16062-test-of-non-linearity), MATLAB Central File Exchange. Retrieved .

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Created with R11
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Version Published Release Notes
1.0.0.0

Added keywords and slightly updated description