GENERATING SURROGATE DATA FOR TIME-SERIES WITH SEVERAL SIMULTANEOUSLY MEASURED VARIABLES

被引：464

作者：

PRICHARD, D

THEILER, J

机构：

[1] UNIV ALASKA,DEPT PHYS,FAIRBANKS,AK 99775

[2] SANTA FE INST,SANTA FE,NM 87505

[3] LOS ALAMOS NATL LAB,CTR NONLINEAR STUDIES,LOS ALAMOS,NM 87545

[4] LOS ALAMOS NATL LAB,DIV THEORET,LOS ALAMOS,NM 87545

来源：

PHYSICAL REVIEW LETTERS | 1994年 / 73卷 / 07期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1103/PhysRevLett.73.951

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We propose an extension to multivariate time series of the phase-randomized Fourier-transform algorithm for generating surrogate data. Such surrogate data sets must mimic not only the autocorrelations of each of the variables in the original data set, they must mimic the cross correlations between all the variables as well. The method is applied both to a simulated example (the three components of the Lorenz equations) and to data from a multichannel electroencephalogram.

引用

页码：951 / 954

页数：4

共 41 条

[1] LYAPUNOV EXPONENTS IN CHAOTIC SYSTEMS - THEIR IMPORTANCE AND THEIR EVALUATION USING OBSERVED DATA [J].