delta test of linearity
delta test of linearity based on conditional mutual information
delta.lin(x, m, d = 1) delta.lin.test(x, m = 2:3, d = 1, eps = seq(0.5 * sd(x), 2 * sd(x), length = 4), B = 49)
x |
time series |
m |
vector of embedding dimensions |
d |
time delay |
eps |
vector of length scales |
B |
number of bootstrap replications |
delta test of linearity based on conditional mutual information
delta.lin returns the parametrically estimated delta statistic
for the given time series (assuming linearity). delta.lin.test returns
the bootstrap based 1-sided p-value. The test statistic is the difference
between the parametric and nonparametric delta estimators.
Antonio, Fabio Di Narzo
Sebastiano Manzan, Essays in Nonlinear Economic Dynamics, Thela Thesis (2003)
delta.lin(log10(lynx), m=3)
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