Detecting determinism in time series: The method of surrogate data

Michael Small, Chi Kong Tse

Research output: Journal article publicationJournal articleAcademic researchpeer-review

69 Citations (Scopus)

Abstract

We review a relatively new statistical test that may be applied to determine whether an observed time series is inconsistent with a specific class of dynamical systems. These surrogate data methods may test an observed time series against the hypotheses of: i) independent and identically distributed noise; ii) linearly filtered noise; and iii) a monotonic nonlinear transformation of linearly filtered noise. A recently suggested fourth algorithm for testing the hypothesis of a periodic orbit with uncorrelated noise is also described. We propose several novel applications of these methods for various engineering problems, including: identifying a deterministic (message) signal in a noisy time series; and separating deterministic and stochastic components. When employed to separate deterministic and noise components, we show that the application of surrogate methods to the residuals of nonlinear models is equivalent to fitting that model subject to an information theoretic model selection criteria.
Original languageEnglish
Pages (from-to)663-672
Number of pages10
JournalIEEE Transactions on Circuits and Systems I: Fundamental Theory and Applications
Volume50
Issue number5
DOIs
Publication statusPublished - 1 May 2003

Keywords

  • Hypothesis testing
  • Minimum description length
  • Noise separation
  • Nonlinear modeling
  • Surrogate data

ASJC Scopus subject areas

  • Electrical and Electronic Engineering

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