surrogateTest: Surrogate data testing

In nonlinearAnalysis: R package for nonlinear time series analysis

Description

Surrogate data testing

Usage

  surrogateTest(time.series, significance = 0.05,
    verbose = TRUE, do.plot = TRUE, FUN, ...)

Arguments

time.series	The original time.series from which the surrogate data is generated.
significance	Significance of the test
verbose	Logical value. If TRUE, a brief summary of the test is shown.
do.plot	Logical value. If TRUE, a graphical representation of the statistic value for both surrogates and original data is shown.
FUN	The function that computes the discriminating statistic that shall be used for testing.
...	Additional arguments for the FUN function.

Details

This function tests the null hypothesis (H0) stating that the series describes a linear process. The test is performed by generating several surrogate data according to H0 and comparing the values of a discriminating statistic between both original data and the surrogate data. If the value of the statistic is significantly different for the original series than for the surrogate set, the null hypothesis is rejected and nonlinearity assumed. The surrogate data is generated by using a phase randomization procedure.

Value

A list containing the values of the statistic for the surrogates (surrogates.statistics field) and the value for the original time series (data.statistic)

Author(s)

Constantino A. Garcia

References

SCHREIBER, Thomas; SCHMITZ, Andreas. Surrogate time series. Physica D: Nonlinear Phenomena, 2000, vol. 142, no 3, p. 346-382.

nonlinearAnalysis documentation built on May 2, 2019, 6:11 p.m.