1995/09/11 by Jens Timmer, J. Timmer, Timmer, J.
Computer Science · Engineering · Physics and Astronomy · #Cellular Automata and Lattice Gases (nlin.CG) #FOS: Physical sciences #Fault Detection and Control Systems #Neural Networks and Applications #Time Series Analysis and Forecasting #comp-gas #nlin.CG
paper · pdf · doi:10.48550/arxiv.comp-gas/9509003
Latex, 19 pages, 3 tarred, compressed and uuencoded eps figures, submitted to Physica D
arxiv created 1995/09/11 · openalex publication_date 1995/09/11 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The method of surrogate data is a tool to test whether data were generated by some class of model. Tests based on the periodogram have been proposed to decide if linear systems driven by Gaussian noise could have generated a sample time series. We show that this procedure based on the periodogram, in general, misspecifies the test statistic. Based on the theory of linear systems we suggest an alternative procedure to obtain the correct distribution of the test statistic and discuss problems of this approach.