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http://hdl.handle.net/10397/4829
Title: | Testing for correlation structures in short-term variabilities with long-term trends of multivariate time series | Authors: | Nakamura, T Hirata, Y Small, M |
Issue Date: | 17-Oct-2006 | Source: | Physical review. E, Statistical, nonlinear, and soft matter physics, Oct. 2006, v. 74, no. 4, 041114, p. 1-8 | Abstract: | We describe a method for identifying correlation structures in irregular fluctuations (short-term variabilities) of multivariate time series, even if they exhibit long-term trends. This method is based on the previously proposed small shuffle surrogate method. The null hypothesis addressed by this method is that there is no short-term correlation structure among data or that the irregular fluctuations are independent. The method is demonstrated for numerical data generated by known systems and applied to several experimental time series. | Keywords: | Correlation methods Data acquisition Numerical methods Time series analysis |
Publisher: | American Physical Society | Journal: | Physical review. E, Statistical, nonlinear, and soft matter physics | ISSN: | 1539-3755 | EISSN: | 1550-2376 | DOI: | 10.1103/PhysRevE.74.041114 | Rights: | Physical Review E © 2006 The American Physical Society. The Journal's web site is located at http://pre.aps.org/ |
Appears in Collections: | Journal/Magazine Article |
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Nakamura_Testing_Multivariate_Time.pdf | 1.32 MB | Adobe PDF | View/Open |
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