A wavelet-based method for surrogate data generation

DOI10.1016/J.PHYSD.2006.10.012MaRDI QIDQ870864zbMATH OpenOpenAlexFDO

Authors Christopher J. Keylock

Publication date 15 March 2007

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physd.2006.10.012

zbMATH Keywords

hypothesis testingwavelet transformsurrogate dataconstrained realisations

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Numerical methods for wavelets (65T60)

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Cites work

• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 1465030 (Why is no real title available?)
• A practical method for calculating largest Lyapunov exponents from small data sets
• A time domain characterization of the fine local regularity of functions.
• An equation for continuous chaos
• Applying the method of surrogate data to cyclic time series
• Constrained-realization Monte-Carlo method for hypothesis testing
• Construction of multivariate surrogate sets from nonlinear data using the wavelet transform
• Correlation dimension: A pivotal statistic for non-constrained realizations of composite hypotheses in surrogate data analysis
• Statistical Properties and Uses of the Wavelet Variance Estimator for the Scale Analysis of Time Series
• Testing for nonlinearity in time series: the method of surrogate data

Cited in

(8)

• Transforming Gaussian correlations. Applications to generating long-range power-law correlated time series with arbitrary distribution
• Construction of multivariate surrogate sets from nonlinear data using the wavelet transform
• Algorithms for generating surrogate data for sparsely quantized time series
• Surrogate data for hypothesis testing of physical systems
• scientific article; zbMATH DE number 5667182 (Why is no real title available?)
• Using wavelets for data generation
• Identifying deterministic signals in simulated gravitational wave data: algorithmic complexity and the surrogate data method
• Gradual multifractal reconstruction of time-series: formulation of the method and an application to the coupling between stock market indices and their Hölder exponents

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Uses Software

• wmtsa

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