Nonlinearity tests for time series - SISO system

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Emanuel
Emanuel on 27 Jan 2012
Answered: Aryan Sarmadi on 28 Apr 2018
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

Answers (1)

Aryan Sarmadi
Aryan Sarmadi on 28 Apr 2018
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).)

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