Year: 1998
Type: article
Abstract: A new method is introduced to create artificial time sequences that fulfil given constraints but are random otherwise. Constraints are usually derived from a measured signal for which surrogate data are to be generated. They are fulfilled by minimizing a suitable cost function using simulated annealing. A wide variety of structures can be imposed on the surrogate series, including multivariate, nonlinear, and nonstationary properties. When the linear correlation structure is to be preserved, the new approach avoids certain artifacts generated by Fourier-based randomization schemes.
Source: Physical Review Letters
Author: Thomas Schreiber
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2051570650