nonlinearity: Nonlinearity coefficient

Description Usage Arguments Value Author(s) Examples

View source: R/yanfei.R

Description

Computes a nonlinearity statistic based on Teräsvirta's nonlinearity test of a time series. The statistic is 10X^2/T where X^2 is the Chi-squared statistic from Teräsvirta's test, and T is the length of the time series. This takes large values when the series is nonlinear, and values around 0 when the series is linear.

Usage

1

Arguments

x

a univariate time series

Value

A numeric value.

Author(s)

Yanfei Kang and Rob J Hyndman

Examples

1

Example output

nonlinearity 
   0.8959046 

tsfeatures documentation built on July 1, 2020, 7:12 p.m.