EFFECT OF JUMP DISCONTINUITY FOR PHASE-RANDOMIZED SURROGATE DATA TESTING

ENNO MAMMEN, SWAGATA NANDI, THOMAS MAIWALD, JENS TIMMER
2009 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering  
In this paper we discuss two modifications of the surrogate data method based on phase randomization, see [Theiler et al., 1992] . By construction, phase randomized surrogates are circular stationary. In this respect they differ from the original time series. This can cause level inaccuracies of surrogate data tests. We will illustrate this. These inaccuracies are caused by end to end mismatches of the original time series. In this paper we will discuss two approaches to remedy this problem:
more » ... dy this problem: resampling from subsequences without end to end mismatches and data tapering. Both methods can be understood as attempts to make non-circular data approximately circular. We will show that the first method works quite well for a large range of applications whereas data tapering leads only to improvements in some examples but can be very unstable otherwise.
doi:10.1142/s0218127409022968 fatcat:esbdvyx6bvd3hbfj3rcsp5deim