Power of surrogate data testing with respect to nonstationarity
- 1 October 1998
- journal article
- research article
- Published by American Physical Society (APS) in Physical Review E
- Vol. 58 (4) , 5153-5156
- https://doi.org/10.1103/physreve.58.5153
Abstract
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 nonstationary linear one. We investigate the power of the test against nonstationarity.Keywords
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