Test of non-linearity 1.0

Date Added: September 05, 2013 | Visits: 286

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There are three M-files:1. third.m, calculates the third-order moment for a time series2. aaft.m, calculates the Amplitude Adjusted Fourier Transform (for more details see: D. Kugiumtzis, Surrogate data test for nonlinearity including monotonic transformations, Phys Rev E, vol. 62, 1, 2000)3. boot.m, uses the above two m-files to calculate a bootstrap test of non-linearity. The graphical output from the test is useful for: a) identifying the type of non-linearity, and b)informally checking non-stationarity.Full details of the test are in the paper: Barnett & Wolff, A Time-Domain Test for Some Types of Nonlinearity, IEEE Transactions on Signal Processing (2005, vol 53, issue 1).

Requirements: No special requirements

Platforms: Matlab

Keyword: Binformally, Bootstrap, Calculate, Checking, Graphical, Identifying, Mfiles, Nonstationarity, Output

Users rating: 0/10

License: Shareware

Size: 10 KB

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