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<B>Up:</B> <A NAME="tex2html201" HREF="node9.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node9.html">Fourier based surrogates</A>
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<BR> <P>
<H2><A NAME="SECTION00044000000000000000">Example: Southern oscillation index</A></H2>
<P>
As an illustration let us perform a statistical test for nonlinearity on a
monthly time series of the Southern Oscillation Index (SOI) from 1866 to 1994
(1560 samples).  For a reference on analysis of Southern Oscillation data
see Graham et al.&nbsp;[<A HREF="node36.html#Graham87" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node36.html#Graham87">32</A>]. Since a discussion of this 
climatic phenomenon is not relevant to the issue at hand, let us just consider
the time series as an isolated data item. Our null hypothesis is that the data
is adequately described by its single time probability distribution and its
power spectrum.  This corresponds to the assumption that an autoregressive
moving average (ARMA) process is generating a sequence that is measured through
a static monotonic, possibly nonlinear observation function.
<P>
For a test at the 99% level of significance (<IMG WIDTH=59 HEIGHT=12 ALIGN=BOTTOM ALT="tex2html_wrap_inline2052" SRC="img49.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img49.gif">), we generate a
collection of <IMG WIDTH=89 HEIGHT=24 ALIGN=MIDDLE ALT="tex2html_wrap_inline2054" SRC="img50.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img50.gif"> surrogate time series which share the single time
sample probability distribution and the periodogram estimator with the
data. This is carried out using the iterative method described in
Sec.&nbsp;<A HREF="node12.html#seciterative" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node12.html#seciterative">4.3</A> above (see also Ref.&nbsp;[<A HREF="node36.html#surrowe" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node36.html#surrowe">30</A>]).
Figure&nbsp;<A HREF="node13.html#figsoi" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node13.html#figsoi">4</A> shows the data together with one of the 99 surrogates.
<P>
As a discriminating statistics we use a locally constant predictor in embedding
space, using three dimensional delay coordinates at a delay time of one
month. Neighbourhoods were selected at 0.2 times the rms amplitude of the
data. The test is set up in such a way that the null hypothesis may be rejected
when the prediction error is smaller for the data than for all of the 99
surrogates. But, as we can see in Fig.&nbsp;<A HREF="node13.html#figsoipred" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node13.html#figsoipred">5</A>, this is not the
case. Predictability is not significantly reduced by destroying possible
nonlinear structure.  This negative result can mean several things. The
prediction error statistics may just not have any power to detect the kind of
nonlinearity present.  Alternatively, the underlying process may be linear and
the null hypothesis true. It could also be, and this seems the most likely
option after all we know about the equations governing climate phenomena,
that the process is nonlinear but the single time series at this sampling
covers such a poor fraction of the rich dynamics that it must appear linear
stochastic to the analysis.
<P>
<blockquote><A NAME="933">&#160;</A><IMG WIDTH=360 HEIGHT=251 ALIGN=BOTTOM ALT="figure1044" SRC="img51.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img51.gif"><BR>
<STRONG>Figure:</STRONG> <A NAME="figsoi">&#160;</A> 
   Monthly values of the Southern Oscillation Index (SOI) from 1866 to 1994
   (upper trace) and a surrogate time series exhibiting the same
   auto-covariance function (lower trace). All linear properties of the
   fluctuations and oscillations are the same between both tracings. However,
   any possible nonlinear structure except for a static rescaling of the data
   is destroyed in the lower tracing by the randomisation procedure.<BR>
</blockquote>
<P>
<P><blockquote><A NAME="935">&#160;</A><IMG WIDTH=319 HEIGHT=148 ALIGN=BOTTOM ALT="figure1045" SRC="img52.gif" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/img52.gif"><BR>
<STRONG>Figure:</STRONG> <A NAME="figsoipred">&#160;</A>
   Nonlinear prediction error measured for the SOI data set (see
   Fig.&nbsp;<A HREF="node13.html#figsoi" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node13.html#figsoi">4</A>) and 99 surrogates. The value for the original data is
   plotted with a longer impulse. The mean and standard deviation of the
   statistic obtained from the surrogates is also represented by an error
   bar. It is evident that the data is not singled out by this property and we
   are unable to reject the null hypothesis of a linear stochastic stationary
   process, possibly rescaled by a nonlinear measurement function.<BR>
</blockquote><P>
<P>
Of course, our test has been carried out disregarding any knowledge of the SOI
situation. It is very likely that more informed measures of nonlinearity may be
more successful in detecting structure. We would like to point out, however,
that if such information is derived from the same data, or literature published
on it, a bias is likely to occur. Similarly to the situation of multiple tests
on the same sample, the level of significance has to be adjusted properly.
Otherwise, if many people try, someone will eventually, and maybe accidentally,
find a measure that indicates nonlinear structure.
<P>
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<B> Next:</B> <A NAME="tex2html203" HREF="node14.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node14.html">Periodicity artefacts</A>
<B>Up:</B> <A NAME="tex2html201" HREF="node9.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/surropaper/node9.html">Fourier based surrogates</A>
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<P><ADDRESS>
<I>Thomas Schreiber <BR>
Mon Aug 30 17:31:48 CEST 1999</I>
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