| Full text | |
| Author(s): |
Total Authors: 3
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| Affiliation: | [1] Univ Fed Bahia, Dept Comp Sci, Salvador, BA - Brazil
[2] Univ Western Australia, Sch Math & Stat, Crawley, WA 6009 - Australia
[3] Univ Sao Paulo, Inst Math & Comp Sci, Sao Carlos, SP - Brazil
Total Affiliations: 3
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| Document type: | Journal article |
| Source: | INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS; v. 25, n. 1 JAN 2015. |
| Web of Science Citations: | 4 |
| Abstract | |
Surrogate data methods have been widely applied to produce synthetic data, while maintaining the same statistical properties as the original. By using such methods, one can analyze certain properties of time series. In this context, Theiler's surrogate data methods are the most commonly considered approaches. These are based on the Fourier transform, limiting them to be applied only on stationary time series. Consequently, time series including nonstationary behavior, such as trend, produces spurious high frequencies with Theiler's methods, resulting in inconsistent surrogates. To solve this problem, we present two new methods that combine time series decomposition techniques and surrogate data methods. These new methods initially decompose time series into a set of monocomponents and the trend. Afterwards, traditional surrogate methods are applied on those individual monocomponents and a set of surrogates is obtained. Finally, all individual surrogates plus the trend signal are combined in order to create a single surrogate series. Using this method, one can investigate linear and nonlinear Gaussian processes in time series, irrespective of the presence of nonstationary behavior. (AU) | |
| FAPESP's process: | 11/02655-9 - Analysis of influences of centralized and distributed process scheduling decisions |
| Grantee: | Rodrigo Fernandes de Mello |
| Support Opportunities: | Regular Research Grants |
| FAPESP's process: | 09/18293-9 - A Hybrid Approach to Identify and Model Deterministic and Stochastic Components present in Time Series |
| Grantee: | Ricardo Araújo Rios |
| Support Opportunities: | Scholarships in Brazil - Doctorate |