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The power of surrogate data testing with respect to non-stationarity

J. Timmer
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Abstract

Surrogate data testing is a method frequently applied to evaluate the results of nonlinear time series analysis. Since the null hypothesis tested against is a linear, gaussian, stationary stochastic process a positive outcome may not only result from an underlying nonlinear or even chaotic system, but also from e.g. a non-stationary linear one. We investigate the power of the test against non-stationarity.

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J. Timmer. 1998-07-28. The power of surrogate data testing with respect to non-stationarity. https://doi.org/10.1103/physreve.58.5153

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