SurrogateData: Simulation of surrogates for a given time series x, subject...

Description Usage Arguments Value Author(s) References See Also

View source: R/SurrogateData.R


It simulates a surrogate for the time series x to be analyzed by wavelet transformation using either function analyze.wavelet or function analyze.coherency. A set of surrogates is used for significance assessment to test the hypothesis of equal periodic components.

Simulation is subject to model/method specification and parameter setting: Currently, one can choose from a variety of 6 methods (white noise, series shuffling, Fourier randomization, AR, and ARIMA) with respective lists of parameters to set.

The name and layout were inspired by a similar function developed by Huidong Tian (archived R package WaveletCo).


SurrogateData(x, method = "white.noise", params = list( 
         AR    = list(p = 1), 
         ARIMA = list(p = 1, q = 1, include.mean = TRUE, sd.fac = 1, 
                      trim = FALSE, trim.prop = 0.01)))



the given time series


the method of generating surrogate time series; select from:

"white.noise" : white noise
"shuffle" : shuffling the given time series
"Fourier.rand" : time series with a similar spectrum
"AR" : AR(p)
"ARIMA" : ARIMA(p,0,q)

Default: "white.noise".


a list of assignments between methods (AR, and ARIMA) and lists of parameter values applying to surrogates. Default: NULL.

Default includes:

AR = list(p = 1),

p : AR order

ARIMA = list(p = 1, q = 1, include.mean = TRUE, sd.fac = 1,
trim = FALSE, trim.prop = 0.01),

p : AR order
q : MA order
include.mean : Include a mean/intercept term?
sd.fac : magnification factor to boost the
residual standard deviation
trim : Simulate trimmed data?
trim.prop : high/low trimming proportion


A surrogate series for x is returned which has the same length and properties according to estimates resulting from the model/method specification and parameter setting.


Angi Roesch and Harald Schmidbauer; credits are also due to Huidong Tian.


Tian, H., and Cazelles, B., 2012. WaveletCo. Available at, archived April 2013; accessed July 26, 2013.

See Also

analyze.wavelet, analyze.coherency, AR, ARIMA, FourierRand

WaveletComp documentation built on May 2, 2019, 6:33 a.m.