Abstract
The paper presents the homoscedastic nonlinear cointegration. The method leads to stable variances in nonlinear cointegration residuals. The adapted Breusch–Pagan test procedure is developed to test for the presence of heteroscedasticity (or homoscedasticity) in the cointegration residuals obtained from the nonlinear cointegration analysis. Three different time series – i.e. one with a nonlinear quadratic deterministic trend, simulated vibration data and experimental wind turbine data – are used to illustrate the application of the proposed method. The proposed approach can be used for effective removal of nonlinear trends from various types of data and for reliable structural damage detection based on data that are corrupted by environmental and/or operational nonlinear trends.
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