Year: 1996
Type: article
Abstract: Current tests for nonlinearity compare a time series to the null hypothesis of a Gaussian linear stochastic process. For this restricted null assumption, random surrogates can be constructed which are constrained by the linear properties of the data. We propose a more general null hypothesis allowing for nonlinear rescalings of a Gaussian linear process. We show that such rescalings cannot be accounted for by a simple amplitude adjustment of the surrogates which leads to spurious detection of nonlinearity. An iterative algorithm is proposed to make appropriate surrogates which have the same autocorrelations as the data and the same probability distribution.
Source: Physical Review Letters
Authors: Thomas Schreiber, Andreas Schmitz
Institution: University of Wuppertal
Language: English
Subfield: Statistical and Nonlinear Physics
Field: Physics and Astronomy
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2085009317