nonlinearity

<p>Computes a nonlinearity statistic based on Ter&lt;U+00E4&gt;svirta's nonlinearity test of a time series.
The statistic is \(10X^2/T\) where \(X^2\) is the Chi-squared statistic from
Ter&lt;U+00E4&gt;svirta's test, and T is the length of the time series. This takes large values
when the series is nonlinear, and values around 0 when the series is linear.</p>

Methods for extracting various features from time series data. The features provided are those from Hyndman, Wang and Laptev (2013) <doi:10.1109/ICDMW.2015.104>, Kang, Hyndman and Smith-Miles (2017) <doi:10.1016/j.ijforecast.2016.09.004> and from Fulcher, Little and Jones (2013) <doi:10.1098/rsif.2013.0048>. Features include spectral entropy, autocorrelations, measures of the strength of seasonality and trend, and so on. Users can also define their own feature functions.

Rob Hyndman

tsfeatures

Time Series Feature Extraction

Yanfei Kang

Pablo Montero-Manso

Thiyanga Talagala

Earo Wang

Yangzhuoran Yang

Mitchell O'Hara-Wild

Souhaib Ben Taieb

Cao Hanqing

D K Lake

Nikolay Laptev

J R Moorman

nonlinearity function

Nonlinearity coefficient — nonlinearity

Nonlinearity coefficient

nonlinearity: Nonlinearity coefficient

Description

Usage

Arguments

Value

Examples