Power of surrogate data testing with respect to nonstationarity

نویسنده

  • J. Timmer
چکیده

Surrogate data testing is a method frequently applied to evaluate the results of nonlinear time series analysis. Since the null hypothesis tested against is a linear, Gaussian, stationary stochastic process a positive outcome may not only result from an underlying nonlinear or even chaotic system, but also from, e.g., a nonstationary linear one. We investigate the power of the test against nonstationarity. @S1063-651X~98!14610-X#

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تاریخ انتشار 2007