POWER OF SURROGATE DATA TESTING WITH RESPECT TO NONSTATIONARITY

Authors
TIMMER J
Citation
J. Timmer, POWER OF SURROGATE DATA TESTING WITH RESPECT TO NONSTATIONARITY, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics, 58(4), 1998, pp. 5153-5156
Citations number
17
Categorie Soggetti
Physycs, Mathematical","Phsycs, Fluid & Plasmas
Journal title
Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics → ACNP
ISSN journal
1063651X
Volume
58
Issue
4
Year of publication
1998
Pages
5153 - 5156
Database
ISI
SICI code
1063-651X(1998)58:4<5153:POSDTW>2.0.ZU;2-P
Abstract
Surrogate data testing is a method frequently applied to evaluate the results of nonlinear time series analysis. Since the null hypothesis t ested against is a linear, Gaussian, stationary stochastic process a p ositive outcome may not only result from an underlying nonlinear or ev en chaotic system, but also from, e.g., a nonstationary linear one. We investigate the power of the test against nonstationarity. [S1063-651 X(98)14610-X].