• 中国计算机学会会刊
  • 中国科技核心期刊
  • 中文核心期刊
论文

Detecting Nonlinearity in Time Series Based on the Information Theory

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  • (Institute of Applied Physics and Computational Mathematics,Beijing 100094,China)

Received date: 2009-02-19

  Revised date: 2009-05-18

  Online published: 2010-06-25

Abstract

Surrogate data testing is an important statistical method to detect nonlinearity in time series and has been widely used.The choice of test statistics can bring important influence to the nonlinearity of time series.A method for testing nonlinearity is described based on the information theory-redundancy.We use the AAFT algorithm to produce surrogate data and using redundancy as test statistics.The evaluation of redundancy statistics for univariate and multivariate is  described respectively.The result of numerical experiments confirms our approach is an effective and robust nonlinearity detecting method.

Cite this article

WU Guoqing,MO Zeyao,CHEN Hong . Detecting Nonlinearity in Time Series Based on the Information Theory[J]. Computer Engineering & Science, 2010 , 32(7) : 83 -85 . DOI: 10.3969/j.issn.1007130X.2010.

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