Open AccessA test method for weak nonlinearity in time series
Author(s) -
Keyu Jiang,
Cai Zhiming,
Lu Zhen-Bo
Publication year - 2008
Publication title -
wuli xuebao
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.199
H-Index - 47
ISSN - 1000-3290
DOI - 10.7498/aps.57.1471
Subject(s) - series (stratigraphy) , nonlinear system , surrogate data , statistic , test statistic , chaotic , time series , mathematics , lorenz system , statistics , computer science , statistical hypothesis testing , artificial intelligence , physics , paleontology , quantum mechanics , biology
Nonlinearity is necessary for time series to be treated as chaotic time series. A new test statistic for nonlinearity, which is based on the ratio of the multistep normalized prediction error with respect to linear AR models and nonlinear AR models, is used to detect the weak nonlinear components contained in time series by the surrogate data method. Taking example for Lorenz time series, the effect of related parameters for test statistic estimation is analyzed. By the nonlinearity tests for chaotic time series, the proposed test statistic δNAR has better discrimination power for weak nonlinearity than the test statistic δAIC based on AIC rules and the zeroth order nonlinear prediction error δZP, which shows that the proposed test statistic has strong adaptive abilities for time series. And, for different time series, the parameters with best nonlinearity discrimination performance are kept constant. The stabilization of parameters facilitates the nonlinearity test for other time series.