Andrzejak Ralph G, Kraskov Alexander, Stögbauer Harald, Mormann Florian, Kreuz Thomas
John-von-Neumann Institute for Computing, Forschungszentrum Jülich, 52425 Jülich, Germany.
Phys Rev E Stat Nonlin Soft Matter Phys. 2003 Dec;68(6 Pt 2):066202. doi: 10.1103/PhysRevE.68.066202. Epub 2003 Dec 15.
The concept of surrogates allows testing results from time series analysis against specified null hypotheses. In application to bivariate model dynamics we here compare different types of surrogates, each designed to test against a different null hypothesis, e.g., an underlying bivariate linear stochastic process. Two measures that aim at a characterization of interdependence between nonlinear deterministic dynamics were used as discriminating statistics. We analyze eight different stochastic and deterministic models not only to demonstrate the power of the surrogates, but also to reveal some pitfalls and limitations.
替代数据的概念允许根据指定的零假设来检验时间序列分析的结果。在二元模型动力学的应用中,我们在这里比较了不同类型的替代数据,每种替代数据都旨在针对不同的零假设进行检验,例如潜在的二元线性随机过程。两种旨在表征非线性确定性动力学之间相互依存关系的度量被用作判别统计量。我们分析了八个不同的随机和确定性模型,不仅是为了证明替代数据的功效,也是为了揭示一些陷阱和局限性。