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Revisiting algorithms for generating surrogate time series

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arxiv 1111.1414 v2 pith:KATFQDJ5 submitted 2011-11-06 physics.data-an astro-ph.HEcs.CEnlin.CD

Revisiting algorithms for generating surrogate time series

classification physics.data-an astro-ph.HEcs.CEnlin.CD
keywords surrogatesalgorithmsgeneratingnonlinearitiesseriessurrogatetimeanalysis
verification ladder T0 review T1 audit T2 compute T3 formal T4 reserved
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The method of surrogates is one of the key concepts of nonlinear data analysis. Here, we demonstrate that commonly used algorithms for generating surrogates often fail to generate truly linear time series. Rather, they create surrogate realizations with Fourier phase correlations leading to non-detections of nonlinearities. We argue that reliable surrogates can only be generated, if one tests separately for static and dynamic nonlinearities.

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