In this paper a different algorithm is proposed to produce surrogates for pseudoperiodic time series. By imposing a few constraints on the noise components of pseudoperiodic data sets, we devise an effective method to generate surrogates. Unlike other algorithms, this method properly copes with pseudoperiodic orbits contaminated with linear colored observational noise. We will demonstrate the a...

The heartbeat time series of the electrocardiogram recorded during exercise test clearly reflects the physiological control mechanism of the autonomic nervous system on heart rate. This series shows both decreasing and increasing trends and variability of the variance. We analyse the series of intervals between two consecutive extrema, i.e. the durations of accelerations or decelerations of hea...

where both m(·) and σ(·) are unknown functions defined over R, the data {(Xt, Yt)}t=1 are weakly dependent stationary time series, and et is an error process with zero mean and unit variance. Suppose that {mθ(·)|θ ∈ Θ} is a family of parametric specification to the regression function m(x) where θ ∈ R is an unknown parameter belonging to a parameter space Θ. This paper considers testing the val...

A heavy tailed time series that can be represented as an innnite moving average has the property that the sample autocorrelation function (ACF) at lag h converges in probability to a constant (h), although the mathematical correlation typically does not exist. For many nonlinear heavy tailed models, however, the sample ACF at lag h converges in distribution to a nondegenerate random variable. I...

Background/Introduction Constrictive pericarditis causes progressively impaired diastolic filling of the heart with associated symptoms of heart failure. High filling pressure in the right atrium creates high hepatic venous pressure with subsequent impairment liver function. Hepatic function has been proposed as an indirect index of cardiac failure in constrictive pericarditis. A non-invasive l...

In this paper, the definition of the Toeplitz autocorrelation matrix is used to derive a kernel-based portmanteau test statistic for ARMA models. Under the null hypothesis of no serial correlation, the distribution of the test statistic is approximated by a standard normal using the kernel-based normalized spectral density estimator, without having to specify any alternative model. Unlike most ...

Let (X\) Yi)',... ,(-Xn, Yny be a sample from a bivariate regular normal distribution with independent components. If r' is the sample correlation coefficient then it is known that Er = 0, varr' = + 0 ( n ~ f ) (1.1) n (see Cramer [4], § 27.8 and § 29.7). If {Xt} and {Yt} are independent time series then the variance of the sample correlation coefficient does not obey the formula (1.1). Let {et...

In this paper a simple method for testing the equality of two time series is presented. It is intended as an easy-to-use tool in chronobiological environments, though the procedure carries over directly to other applications. Simulation results support the conclusions drawn in the paper. ? 2003 Elsevier Science B.V. All rights reserved.

In this paper, we consider the problem of testing for parameter changes in time series models based on a cusum test. Although the test procedure is well established for the mean and variance in time series models, a general parameter case has not been discussed in the literature. Therefore, here we develop a cusum test for parameter change in a more general framework. As an example, we consider...