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I'm trying to put together a literature review of
nonlinearity tests to gain some perspective on what has been done. I am unable
to know the extent of the literature on this topic as each paper I find seems to
go off on tangents about several unrelated tests. Is there a
reference someone might suggest that condenses this to some extent? Preferably
something that unifies all the different types of tests out there. I am familiar
with a few of the statistical tests (diagnostics on the residuals of a
linear model fitting procedure) and so-called surrogate data tests
(hypothesis testing framework for detecting 'dynamical' nonlinearities as
evidenced by non-random Fourier phase structure)...
I'm interested primarily in "univariate tests for
nonlinearity" (yes, i've googled it... no, nothing succinct/useful turned
up)
"multivariate tests" are also ok -- but what i'm
looking for, again, is something that puts it all in perspective. If nothing
like this exists (hard to believe), that might also be useful to
know...
thanks,
p
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