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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

8 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).

Comments and Ratings (8)

K LEE

K LEE (view profile)

Dear Adrain,
Thank you for sharing the code.
I notice that the codes are bootstraps using AAFT mehtods.
Could you please send me this nonlinearity test method code with CAAFT?
thanks very much!
LEE

SURAJ .

SURAJ . (view profile)

Min Gan

Dear Adrain,
Thank you for sharing the code.
I notice that the codes are bootstraps using AAFT mehtods.
Could you please send me this nonlinearity test method code with CAAFT?
thanks very much!
Gan

Min Gan

Ali Ali

Thanks alot. It is a very useful tool

Dear Asim

Sorry for the delay in replying. Have you tried reading the paper in the 'IEEE Transactions on Signal Processing', vol 53, issue 1, pages 26-33?

There are two parts to the output: i) A graphical part that shows the co-ordinates of the third order moment that are outside the test limits, ii) An overall boostrap test of non-linearity based on the third order moment.

Adrian

Asim

Asim (view profile)

Dear Adrain,
Thank you for sharing the code. I ran tha code with a dataset. However, I could read the out comes properly. is there any clear way of explaining the outcomes. ow to interpret the results.
thanks

Dmitry Volobuev

Thank You, it saves my time.

Updates

1.0.0.0

Added keywords and slightly updated description

MATLAB Release Compatibility
Created with R11
Compatible with any release
Platform Compatibility
Windows macOS Linux

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