Hello,

You can use the package "nonlinearAnalysis" in R, by using

the function:

nonlinearityTest(time.series, verbose = TRUE)

with :

Arguments

time.series

The original time.series from which the surrogate data is generated.

verbose

Logical value. If TRUE, a summary of each of the tests is shown

This function runs a set of nonlinearity tests implemented in other R packages including:

• Teraesvirta's neural metwork test for nonlinearity (terasvirta.test).
• White neural metwork test for nonlinearity (white.test).
• Keenan's one-degree test for nonlinearity (Keenan.test).
• Perform the McLeod-Li test for conditional heteroscedascity (ARCH). (McLeod.Li.test).
• Perform the Tsay's test for quadratic nonlinearity in a time series. (Tsay.test).
• Perform the Likelihood ratio test for threshold nonlinearity. (tlrt).
• Good lucke

Please use this URL.

https://cran.r-project.org/web/packages/nonlinearTseries/index.html

thanks all

Dear Pankaj,

to test non linear properties of time series data, you can use the Keenan test and the Tsay test as well. The R package to run both are: stats, utils and TSA

Please let me know if you need further information

I hope to have been of some help

All the best