The power of surrogate data testing with respect to non-stationarity

Details The power of surrogate data testing with respect to non-stationarity The power of surrogate data testing with respect to non-stationarity

1998-07-28

arxiv.org/abs/chao-dyn/9807039v1

Nonlinear Sciences

Chaotic Dynamics

4 pages, 4 figures, to appear in PRE

Scientific paper

10.1103/PhysRevE.58.5153

Surrogate data testing is a method frequently applied to evaluate the results of nonlinear time series analysis. Since the null hypothesis tested against is a linear, gaussian, stationary stochastic process a positive outcome may not only result from an underlying nonlinear or even chaotic system, but also from e.g. a non-stationary linear one. We investigate the power of the test against non-stationarity.

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