Testing for nonlinearity in irregular fluctuations with long-term trends.
We describe a method for investigating nonlinearity in irregular fluctuations (short-term variability) of time series even if the data exhibit long-term trends (periodicities). Such situations are theoretically incompatible with the assumption of previously proposed methods. The null hypothesis addressed by our algorithm is that irregular fluctuations are generated by a stationary linear system. The method is demonstrated for numerical data generated by known systems and applied to several actual time series.
Nakamura
Tomomichi
T
Department of Electronic and Information Engineering, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong. entomo@eie.polyu.edu.hk
Small
Michael
M
Hirata
Yoshito
Y