Constrained randomization of time series data

Details Constrained randomization of time series data Constrained randomization of time series data

1999-09-30

arxiv.org/abs/chao-dyn/9909042v1

Phys. Rev. Lett. 80 (1998) 2105

Nonlinear Sciences

Chaotic Dynamics

4 pages, 2 figures

Scientific paper

10.1103/PhysRevLett.80.2105

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.

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