nonlinearityTest: Nonlinearity test

In nonlinearTseries: Nonlinear Time Series Analysis

Description

Nonlinearity test

Usage

nonlinearityTest(time.series, verbose = TRUE)

Arguments

time.series	The original time.series from which the surrogate data is generated.
verbose	Logical value. If TRUE, a summary of each of the tests is shown.

Details

This function runs a set of nonlinearity tests implemented in other R packages including:

• Teraesvirta's neural metwork test for nonlinearity (terasvirta.test).

• White neural metwork test for nonlinearity (white.test).

• Keenan's one-degree test for nonlinearity (Keenan.test).

• Perform the McLeod-Li test for conditional heteroscedascity (ARCH). (McLeod.Li.test).

• Perform the Tsay's test for quadratic nonlinearity in a time series. (Tsay.test).

• Perform the Likelihood ratio test for threshold nonlinearity. (tlrt).

Value

A list containing the results of each of the tests.

nonlinearTseries documentation built on May 2, 2019, 5:47 p.m.