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Published on: December 10, 2014
Statically transformed autoregressive process and surrogate data test for nonlinearity
1Department of Mathematical and Physical Sciences, Polytechnic School, Aristotle University of Thessaloniki, Thessaloniki 54006, Greece. dkugiu@gen.auth.gr
Abstract:
The key feature for the successful implementation of the surrogate data test for nonlinearity on a scalar time series is the generation of surrogate data that represent exactly the null hypothesis (statically transformed normal stochastic process), i.e., they possess the sample autocorrelation and amplitude distribution of the given data. A conceptual approach and algorithm for the generation of surrogate data is proposed, called the statically transformed autoregressive process (STAP). It identifies a normal autoregressive process and a monotonic static transform, so that the transformed realizations of this process fulfill exactly both conditions and do not suffer from bias in autocorrelation as the surrogate data generated by other algorithms. The appropriateness of STAP is demonstrated with simulated and real world data.
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