Constrained randomization of time series for hypothesis testing
chao-dyn
2007-05-23 v1 混沌动力学
摘要
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.
引用
@article{arxiv.chao-dyn/9805013,
title = {Constrained randomization of time series for hypothesis testing},
author = {Thomas Schreiber and Andreas Schmitz},
journal= {arXiv preprint arXiv:chao-dyn/9805013},
year = {2007}
}
备注
4 pages, 3 figures, needs nolta.sty