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.
a univariate time series
A numeric value.
Yanfei Kang and Rob J Hyndman
nonlinearity(lynx)#> nonlinearity #> 0.8959046