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Nonlinearity test for multivariate time series. Output of the code includes following nonliearity tests:
1- Trasvirta,Lin, and Granger(1993)
2- Tsay
3- Keenan
This Matlab code has been used in S. Mohammadi(2019).
References:
1- Mohammadi S. Neural network for univariate and multivariate nonlinearity tests. Stat Anal Data Min: The ASA Data Sci Journal. 2019. 13:50-70.https://doi.org/10.1002/sam.11441
Cite As
Shapour Mohammadi (2026). Multivariate Nonlinearity Test (https://in.mathworks.com/matlabcentral/fileexchange/184193-multivariate-nonlinearity-test), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0 (2.59 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0 |
