Constrained Markov order surrogates

DOI10.1016/J.PHYSD.2020.132437zbMATH Open1482.62084OpenAlexW3008427318MaRDI QIDQ2115528FDOQ2115528

Thomas Jüngling, Débora Cristina Corrêa, Jack Murdoch Moore, 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

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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)

Cites Work

• Power-Law Distributions in Empirical Data
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Title not available (Why is that?)
• Testing for nonlinearity in time series: the method of surrogate data
• Statistical Inference about Markov Chains
• The consistency of the BIC Markov order estimator.
• Determination of the order of a Markov chain by Akaike's information criterion
• Statistical Methods in Markov Chains
• Title not available (Why is that?)
• How to Get a Perfectly Random Sample from a Generic Markov Chain and Generate a Random Spanning Tree of a Directed Graph
• Title not available (Why is that?)
• Approximate Verification of the Symbolic Dynamics of Markov Chains
• 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
• Testing the order of Markov dependence in DNA sequences
• Constrained-realization Monte-Carlo method for hypothesis testing
• Correlation dimension: A pivotal statistic for non-constrained realizations of composite hypotheses in surrogate data analysis
• Shuffling biological sequences
• Testing the order of discrete Markov chains using surrogate data
• Exact goodness-of-fit tests for Markov chains
• Exact significance test for Markov order

Cited In (2)

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

Uses Software

• plfit
• uShuffle

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