TESTING FOR NONLINEARITY IN TIME-SERIES - THE METHOD OF SURROGATE DATA

We describe a statistical approach for identifying nonlinearity in time series. The method first specifies some linear process as a null hypothesis, then generates surrogate data sets which are consistent with this null hypothesis, and finally computes a discriminating statistic for the original and for each of the surrogate data sets. If the value computed for the original data is significantly different than the ensemble of values computed for the surrogate data, then the null hypothesis is rejected and nonlinearity is detected. We discuss various null hypotheses and discriminating statistics. The method is demonstrated for numerical data generated by known chaotic systems, and applied to a number of experimental time series which arise in the measurement of superfluids, brain waves, and sunspots; we evaluate the statistical significance of the evidence for nonlinear structure in each case, and illustrate aspects of the data which this approach identifies.