nonlinearityTest {nonlinearTseries} | R Documentation |
Nonlinearity test
nonlinearityTest(time.series, verbose = TRUE)
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. |
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
).
A list containing the results of each of the tests.