tsfeatures: nonlinearity – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

nonlinearity

Nonlinearity coefficient

Description

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.

Usage

nonlinearity(x)

Arguments

`x`	a univariate time series

Value

A numeric value.

Author(s)

Yanfei Kang and Rob J Hyndman

Examples

nonlinearity(lynx)

tsfeatures

Time Series Feature Extraction

v1.0.2

GPL-3

Authors

Rob Hyndman [aut, cre] (<https://orcid.org/0000-0002-2140-5352>), Yanfei Kang [aut] (<https://orcid.org/0000-0001-8769-6650>), Pablo Montero-Manso [aut], Thiyanga Talagala [aut] (<https://orcid.org/0000-0002-0656-9789>), Earo Wang [aut] (<https://orcid.org/0000-0001-6448-5260>), Yangzhuoran Yang [aut], Mitchell O'Hara-Wild [aut] (<https://orcid.org/0000-0001-6729-7695>), Souhaib Ben Taieb [ctb], Cao Hanqing [ctb], D K Lake [ctb], Nikolay Laptev [ctb], J R Moorman [ctb]

Initial release