Testing for nonlinearity in time series without the Fourier transform.
A method to test for nonlinearity in time series, without the need to apply the Fourier transform, is proposed. This method therefore avoids the drawbacks of previously proposed surrogate techniques associated with the estimation of the signal's power spectrum. The test addressed by this algorithm is that the data are generated by a stationary linear system. To achieve this, the algorithm takes advantage of the fundamentally different structure of linear and nonlinear systems.
Nakamura
Tomomichi
T
Department of Electronic and Information Engineering, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong. entomo@eie.polyu.edu.hk
Luo
Xiaodong
X
Small
Michael
M