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  • Last update: 5 years ago
  • Total downloads: 74
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Adrian Barnett
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scripts default iconTest of non-linearity (Scripts) Publisher's description

third.m, calculates the third-order moment for a time series

There are three M-files:
1. third.m, calculates the third-order moment for a time series
2. aaft.m, calculates the Amplitude Adjusted Fourier Transform (for more details see: D. Kugiumtzis, Surrogate data test for nonlinearity including monotonic transformations, Phys Rev E, vol. 62, 1, 2000)
3. boot.m, uses the above two m-files to calculate a bootstrap test of non-linearity. The graphical output from the test is useful for: a) identifying the type of non-linearity, and b)informally checking non-stationarity.

Full details of the test are in the paper: Barnett & Wolff, A Time-Domain Test for Some Types of Nonlinearity, IEEE Transactions on Signal Processing (2005, vol 53, issue 1).

System Requirements:

MATLAB 5.3 (R11)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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