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Detecting nonlinearity in multivariate time series

Milan Paluš
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Abstract

We propose an extension to time series with several simultaneously measured variables of the nonlinearity test, which combines the redundancy -- linear redundancy approach with the surrogate data technique. For several variables various types of the redundancies can be defined, in order to test specific 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 are used in order to avoid spurious results due to imperfect surrogates. The method is demonstrated using two types of numerically generated multivariate series (linear and nonlinear) and experimental multivariate data from meteorology and physiology.

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Milan Paluš. 1995-07-31. Detecting nonlinearity in multivariate time series. https://doi.org/10.1016/0375-9601(96)00116-8

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