Nonlinearity tests for time series - SISO system

Hello all,

I have a set of 1000 observations ( u ( k ) and y ( k )) of a SISO system .

Does anybody know a method of measuring the degree of nonlinearity or linearity between u(k) and y(k) using Matlab?

Thanks, Emanuel

Answer 1

[Aryan Sarmadi]

It may be late. But researchers and students can found some useful literature and MATLAB functions for nonlinearity test for time series datasets. For details, one can refer to:

Harvey, D. I. and S. J. Leybourne (2007). "Testing for time series linearity." The Econometrics Journal 10(1): 149-165.

Berg, A., et al. (2010). "A bootstrap test for time series linearity." Journal of Statistical Planning and Inference 140(12): 3841-3857.

Furthermore, some free MATLAB functions are available:

https://www.mathworks.com/matlabcentral/fileexchange/16062-test-of-non-linearity based the following article (Barnett, A. G. and R. C. Wolff (2005). "A time-domain test for some types of nonlinearity." IEEE Transactions on Signal Processing 53(1): 26-33.)

https://www.mathworks.com/matlabcentral/fileexchange/27561-measures-of-analysis-of-time-series-toolkit--mats- based on the following article (Kugiumtzis, D. and A. Tsimpiris (2010). "Measures of analysis of time series (MATS): A MATLAB toolkit for computation of multiple measures on time series data bases." Journal of Statistical Software 33(5).)