Non-parametric test for time series different from colored noise
This is an implementation of the algorithm by Kennel and Isabelle, "Method to distinguish possible chaos from colored noise and to determine embedding parameters." Physical Review A (1992). The algorithm tests the null hypothesis of same generating distribution as a colored noise process by calculating a Kolmogrov-Smirnov test statistic. This statistic is computed from a deterministic, time-delay embedded time series by comparing the prediction errors of surrogate (noise added) and original time series data. Under the null hypothesis the test statistic should have standard mean and unit variance.
Cite As
James Wilsenach (2024). Non-parametric test for time series different from colored noise (https://www.mathworks.com/matlabcentral/fileexchange/58134-non-parametric-test-for-time-series-different-from-colored-noise), MATLAB Central File Exchange. Retrieved .
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