Constrained randomization of time series for hypothesis testing

Thomas Schreiber; Andreas Schmitz

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arXiv · chao-dyn/9805013

Constrained randomization of time series for hypothesis testing

Thomas Schreiber·Andreas Schmitz

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Abstract

We propose a general scheme to create time sequences that fulfill given constraints but are random otherwise. Significance levels for nonlinearity tests are as usually obtained by Monte Carlo resampling. In a new scheme, constraints including multivariate, nonlinear, and nonstationary properties are implemented in the form of a cost function.

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Thomas Schreiber, Andreas Schmitz. 1998-05-13. Constrained randomization of time series for hypothesis testing. https://arxiv.org/abs/chao-dyn/9805013

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