Constrained Markov order surrogates

DOI10.1016/J.PHYSD.2020.132437MaRDI QIDQ2115528zbMATH OpenOpenAlexFDO

Authors Débora Cristina Corrêa, Jack Murdoch Moore, Thomas Jüngling, Michael Small

Publication date 17 March 2022

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physd.2020.132437

zbMATH Keywords

Markov chainssurrogatessymbolic time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1202312 (Why is no real title available?)
• scientific article; zbMATH DE number 849922 (Why is no real title available?)
• scientific article; zbMATH DE number 890348 (Why is no real title available?)
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• Exact goodness-of-fit tests for Markov chains
• Exact significance test for Markov order
• How to Get a Perfectly Random Sample from a Generic Markov Chain and Generate a Random Spanning Tree of a Directed Graph
• On Some Criteria for Estimating the Order of a Markov Chain
• On the estimation of the order of a Markov chain and universal data compression
• Power-law distributions in empirical data
• Shuffling biological sequences
• Statistical Inference about Markov Chains
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• Testing for nonlinearity in time series: the method of surrogate data
• Testing the order of Markov dependence in DNA sequences
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• The consistency of the BIC Markov order estimator.

Cited in

(3)

• A note on shuffled financial surrogates
• Testing the order of discrete Markov chains using surrogate data
• Exact significance test for Markov order

Describes a project that uses

Uses Software

• uShuffle
• plfit

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