Constrained randomization of time series for hypothesis testing

Details Constrained randomization of time series for hypothesis testing Constrained randomization of time series for hypothesis testing

1998-05-13

arxiv.org/abs/chao-dyn/9805013v1

Nonlinear Sciences

Chaotic Dynamics

4 pages, 3 figures, needs nolta.sty

Scientific paper

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.

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