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| Title: | Detecting determinism in time series : the method of surrogate data | Authors: | Small, M Tse, CKM |
Issue Date: | May-2003 | Source: | IEEE transactions on circuits and systems. I, Fundamental theory and applications, May 2003, v. 50, no. 5, p. 663-672 | Abstract: | We review a relatively new statistical test that may be applied to determine whether an observed time series is inconsistent with a specific class of dynamical systems. These surrogate data methods may test an observed time series against the hypotheses of: i) independent and identically distributed noise; ii) linearly filtered noise; and iii) a monotonic nonlinear transformation of linearly filtered noise. A recently suggested fourth algorithm for testing the hypothesis of a periodic orbit with uncorrelated noise is also described. We propose several novel applications of these methods for various engineering problems, including: identifying a deterministic (message) signal in a noisy time series; and separating deterministic and stochastic components. When employed to separate deterministic and noise components, we show that the application of surrogate methods to the residuals of nonlinear models is equivalent to fitting that model subject to an information theoretic model selection criteria. | Keywords: | Hypothesis testing Minimum description length Noise separation Nonlinear modeling Surrogate data |
Publisher: | Institute of Electrical and Electronics Engineers | Journal: | IEEE transactions on circuits and systems. I, Fundamental theory and applications | ISSN: | 1057-7122 | DOI: | 10.1109/TCSI.2003.811020 | Rights: | © 2003 IEEE. Personal use of this material is permitted. However, permission to reprint/republish this material for advertising or promotional purposes or for creating new collective works for resale or redistribution to servers or lists, or to reuse any copyrighted component of this work in other works must be obtained from the IEEE. This material is presented to ensure timely dissemination of scholarly and technical work. Copyright and all rights therein are retained by authors or by other copyright holders. All persons copying this information are expected to adhere to the terms and constraints invoked by each author's copyright. In most cases, these works may not be reposted without the explicit permission of the copyright holders. |
| Appears in Collections: | Journal/Magazine Article |
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