Testing for nonlinearity in nonstationary time series: A network-based surrogate data test

The classical surrogate data tests, which are used to differentiate linear noise processes from nonlinear processes, are not suitable for nonstationary time series. In this paper, we propose a surrogate data test that can be applied on both stationary time series as well as nonstationary time series with short-term fluctuations. The method is based on the idea of constructing a network from the time series, employing a generalized symbolic dynamics method introduced in this work, and using any one of the several easily computable network parameters as discriminating statistics. The construction of the network is designed to remove the long-term trends in the data automatically. The network-based test statistics pick up only the short-term variations, unlike the discriminating statistics of the traditional methods, which are influenced by nonstationary trends in the data. The method is tested on several systems generated by linear or nonlinear processes and with deterministic or stochastic trends, and in all cases it is found to be able to differentiate between linear stochastic processes and nonlinear processes quite accurately, especially in cases where the common methods would lead to false rejections of the null hypothesis due to nonstationarity being interpreted as nonlinearity. The method is also found to be robust to the presence of experimental or dynamical noise of a moderate level in an otherwise nonlinear system.