Fast detection of nonlinearity and nonstationarity in short and noisy time series

Details Fast detection of nonlinearity and nonstationarity in short and noisy time series Fast detection of nonlinearity and nonstationarity in short and noisy time series

2010-01-13

arxiv.org/abs/1001.2237v2

EPL 91 30005, 2010

Nonlinear Sciences

Chaotic Dynamics

5 pages, 6 figures

Scientific paper

10.1209/0295-5075/91/30005

We introduce a statistical method to detect nonlinearity and nonstationarity in time series, that works even for short sequences and in presence of noise. The method has a discrimination power similar to that of the most advanced estimators on the market, yet it depends only on one parameter, is easier to implement and faster. Applications to real data sets reject the null hypothesis of an underlying stationary linear stochastic process with a higher confidence interval than the best known nonlinear discriminators up to date.

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