This paper deals with the problem of examining the nonlinear dynamic of a U-Oscillating Water Column (U-OWC) Wave Energy Converter. The U-OWC dynamic response is governed by a set of non-linear differential equations. In the paper, an approximate linear solution is sought by using the technique of statistical linearization. The linearization scheme is implemented by identifying a surrogate linear system equivalent to the nonlinear one in a mean-square sense. In this context, frequency-domain analyses of the U-OWC response are readily implemented via standard linear input-output relationship. Comparisons between the nonlinear response computed via numerical simulations and by the approximate one assess the reliability of the method. The proposed approach is applied to a small-scale U-OWC model installed in the Natural Engineering Laboratory (NOEL) in Reggio Calabria, Italy.