Study of the Surrogate Data Method for Nonlinearity of Time Series

Lei Min; Wang Zhizhong

Volume 23 Issue 3

Mar. 2001

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Article Navigation > Journal of Electronics & Information Technology > 2001 > 23(3): 248-254

Lei Min, Wang Zhizhong . Study of the Surrogate Data Method for Nonlinearity of Time Series[J]. Journal of Electronics & Information Technology, 2001, 23(3): 248-254.

Citation:

Lei Min, Wang Zhizhong . Study of the Surrogate Data Method for Nonlinearity of Time Series[J]. Journal of Electronics & Information Technology, 2001, 23(3): 248-254.

Lei Min, Wang Zhizhong . Study of the Surrogate Data Method for Nonlinearity of Time Series[J]. Journal of Electronics & Information Technology, 2001, 23(3): 248-254.

Citation:

Lei Min, Wang Zhizhong . Study of the Surrogate Data Method for Nonlinearity of Time Series[J]. Journal of Electronics & Information Technology, 2001, 23(3): 248-254.

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Study of the Surrogate Data Method for Nonlinearity of Time Series

Received Date: 1999-05-09
Rev Recd Date: 1999-11-15
Publish Date: 2001-03-19

Abstract

Abstract

Currently, the surrogate data method has become a widely used method in testing nonlinearity of time series. However, for the null hypothesis of linearly autocorrelated Gaussian noise with the mean and variance of the raw data, the exiting FT algorithms of generating surrogate data can not reproduce pure frequencies very well. In this paper, the surrogate data method is studied and an improved FT algorithms is proposed. Using the proposed algorithm, the surrogate data sets have the same mean, variance and Fourier spectrum with the original data. This FT algorithm is compared to the previous and proved feasible by using Guass series and chaos time series of the logistic system.

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References(1)

References

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