Computes a nonlinearity statistic based on Teräsvirta's nonlinearity test of a time series. The statistic is \(10X^2/T\) where \(X^2\) is the Chi-squared statistic from Teräsvirta'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.

nonlinearity(x)

Arguments

x

a univariate time series

Value

A numeric value.

Author

Yanfei Kang and Rob J Hyndman

Examples

nonlinearity(lynx)
#> nonlinearity #> 0.8959046