Work

Constrained randomization of time series for hypothesis testing

Year: 1998

Type: preprint

Abstract: We propose a general scheme to create time sequences that fulfill given constraints but are random otherwise. Significance levels for nonlinearity tests are as usually obtained by Monte Carlo resampling. In a new scheme, constraints including multivariate, nonlinear, and nonstationary properties are implemented in the form of a cost function.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.chao-dyn/9805013

Authors: Schreiber, Thomas, Schmitz, Andreas

Institution: University of Wuppertal

Language: English

Topic: Complex Systems and Time Series Analysis

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W62493563

Cites: 8

Cited by:

Related to: 20