nonlinearTseries: nonlinearityTest – R documentation

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nonlinearityTest

Nonlinearity test

Nonlinearity test

nonlinearityTest(time.series, verbose = TRUE)

`time.series`	The original time.series from which the surrogate data is generated.
`verbose`	Logical value. If TRUE, a summary of each of the tests is shown.

This function runs a set of nonlinearity tests implemented by this and other R packages, including:

Teraesvirta's neural metwork test for nonlinearity (terasvirta.test).
White neural metwork test for nonlinearity (white.test).
Keenan's one-degree test for nonlinearity (keenanTest).
Perform the McLeod-Li test for conditional heteroscedascity (ARCH). (mcleodLiTest).
Perform the Tsay's test for quadratic nonlinearity in a time series. (tsayTest).
Perform the Likelihood ratio test for threshold nonlinearity. (thresholdTest).

A list containing the results of each of the tests.