Journal ArticleDOI
Improved Surrogate Data for Nonlinearity Tests.
Thomas Schreiber,Andreas Schmitz +1 more
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TLDR
It is shown that nonlinear rescalings of a Gaussian linear stochastic process cannot be accounted for by a simple amplitude adjustment of the surrogates which leads to spurious detection of nonlinearity.Abstract:
Current tests for nonlinearity compare a time series to the null hypothesis of a Gaussian linear stochastic process. For this restricted null assumption, random surrogates can be constructed which are constrained by the linear properties of the data. We propose a more general null hypothesis allowing for nonlinear rescalings of a Gaussian linear process. We show that such rescalings cannot be accounted for by a simple amplitude adjustment of the surrogates which leads to spurious detection of nonlinearity. An iterative algorithm is proposed to make appropriate surrogates which have the same autocorrelations as the data and the same probability distribution.read more
Citations
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Nonlinear dynamical analysis of periodic lateralized epileptiform discharges.
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Cortical maturation from childhood to adolescence is reflected in resting state EEG signal complexity.
TL;DR: In this article, the authors examined multiscale entropy, a measure of signal complexity, in resting-state EEGs in a large (N = 405) cross-sectional sample of children and adolescents (9-16 years).
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Testing for nonlinearity: the role of surrogate data
TL;DR: It is shown that testing for unstable periodic orbits (UPOs) is a robust measure for nonlinearity with respect to different types of surrogate data.
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Multifractal detrended cross-correlations between Chinese stock market and three stock markets in The Belt and Road Initiative
TL;DR: Wang et al. as mentioned in this paper applied MF-X-DMA method to investigate the multifractal features between Chinese stock index and three stock indexes in "The Belt and Road Initiative" in both global and local periods, and find the source of multifractality.
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Multifractal regime detecting method for financial time series
Hojin Lee,Woojin Chang +1 more
TL;DR: In this article, a method to discriminate multifractal regimes in a time series of any length using a moving time window approach with the adjustable time window size and the moving interval was proposed.
References
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Book
Time Series Prediction: Forecasting The Future And Understanding The Past
TL;DR: By reading time series prediction forecasting the future and understanding the past, you can take more advantages with limited budget.
Book
Nonlinear Dynamics, Chaos, and Instability: Statistical Theory and Economic Evidence
TL;DR: In this paper, the changing structure of stock returns nonlinearity in foreign exchange summary, relation to other work, and future horizons are discussed, as well as the size and distribution of the BDS statistic quantiles.
Journal ArticleDOI
Constrained-realization Monte-Carlo method for hypothesis testing
TL;DR: The typical-realization approach, on the other hand, does not share this requirement, and can provide an accurate and powerful test without having to sacrifice flexibility in the choice of discriminating statistic, and is found to depend on whether or not the discriminating statistic is pivotal.