Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/730
Title: Detecting determinism in time series : the method of surrogate data
Authors: Small, Michael
Tse, C. K. Michael
Subjects: Hypothesis testing
Minimum description length
Noise separation
Nonlinear modeling
Surrogate data
Issue Date: May-2003
Publisher: IEEE
Source: IEEE transactions on circuits and systems. I, Fundamental theory and applications, May 2003, v. 50, no. 5, p. 663-672.
Abstract: We review a relatively new statistical test that may be applied to determine whether an observed time series is inconsistent with a specific class of dynamical systems. These surrogate data methods may test an observed time series against the hypotheses of: i) independent and identically distributed noise; ii) linearly filtered noise; and iii) a monotonic nonlinear transformation of linearly filtered noise. A recently suggested fourth algorithm for testing the hypothesis of a periodic orbit with uncorrelated noise is also described. We propose several novel applications of these methods for various engineering problems, including: identifying a deterministic (message) signal in a noisy time series; and separating deterministic and stochastic components. When employed to separate deterministic and noise components, we show that the application of surrogate methods to the residuals of nonlinear models is equivalent to fitting that model subject to an information theoretic model selection criteria.
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Type: Journal/Magazine Article
URI: http://hdl.handle.net/10397/730
DOI: 10.1109/TCSI.2003.811020
ISSN: 1057-7122
Appears in Collections:EIE Journal/Magazine Articles

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