一种基于KS检验的时间序列非线性检验方法
doi: 10.3724/SP.J.1146.2005.00998
A New Method of Detecting Nonlinear for Time Series Based on KS Test
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摘要: 检验统计量的选取将对时间序列非线性检验的结果产生重要影响。该文在采用打乱相位法产生替代数据后，引入了一种非参数检验Kolmogorov-Smirnov 检验(简称KS检验)作为检验统计量。通过对各类信号的数值实验及与传统使用的高阶自相关量以及时间反演不可逆量对比结果表明，KS检验是一种有效、稳定的非线性检验统计量，对噪声信号具有较强的抗噪能力，而对非线性信号具有较高的敏感性。Abstract: The choice of test statistics can bring important influence to nonlinear of time series. This paper introduces a Non-parameter testKolmogorov-Smirnov (KS) test into nonlinearity test. After applying the Phase-randomized surrogate algorithm to create surrogate data, three test statistics methods, which include KS test, the third-order autocovariance and the asymmetry due to time reversal, are employed to determine nonlinear of five kinds signals. By comparing the test results, it indicates that KS test is an effective and stable nonlinear test statistics. The proposed method has high noise immunity and more sensitive to nonlinear signal.
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