nonlinearity.Rd
Computes a nonlinearity statistic based on Teräsvirta's nonlinearity test of a time series. The statistic is \(10X^2/T\) where \(X^2\) is the Chi-squared statistic from Teräsvirta's test, and T is the length of the time series. This takes large values when the series is nonlinear, and values around 0 when the series is linear.
nonlinearity(x)
x | a univariate time series |
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A numeric value.
nonlinearity(lynx)#> nonlinearity #> 0.8959046