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Testing for nonlinearity in time series without the Fourier transform

Tomomichi Nakamura, Xiaodong Luo, and Michael Small
Phys. Rev. E 72, 055201(R) – Published 18 November 2005

Abstract

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.

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  • Received 24 May 2005

DOI:https://doi.org/10.1103/PhysRevE.72.055201

©2005 American Physical Society

Authors & Affiliations

Tomomichi Nakamura*, Xiaodong Luo, and Michael Small

  • Department of Electronic and Information Engineering, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong

  • *Electronic address: entomo@eie.polyu.edu.hk

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Issue

Vol. 72, Iss. 5 — November 2005

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