Detecting Nonlinearity in Multivariate Time Series

@inproceedings{Palu1995DetectingNI,
  title={Detecting Nonlinearity in Multivariate Time Series},
  author={Milan Palu},
  year={1995}
}
We propose an extension to time series with several simultaneously measured variables of the non-linearity test, which combines the redundancy { linear redundancy approach with the surrogate data technique. For several variables various types of the redundancies can be deened, in order to test speciic dependence structures between/among (groups of) variables. The null hypothesis of a multivariate linear stochastic process is tested using the multivariate surrogate data. The linear redundancies… CONTINUE READING

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