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<head><title>Surrogate data testing</title></head>
<body bgcolor="#ffffff">
<h3>Surrogate data testing</h3>
A simple (one sided) surrogate data test for data in file <font color=blue><em>file</em></font>, using
a prediction error statistic, can be made with a sequence of commands similar 
to the following. First select a sub-sequence without large endpoint effect:
<blockquote>
      <tt>&gt;</tt><font color=blue><tt> endtoend </tt> <em>file</em></font>
</blockquote>
Suppose, the full data of length 1000 gave a 17% end effect, but a truncated 
length of 972 and offset 80 the effect was reduced to 0.2%. To choose that
sub-sequence: 
<blockquote>
      <tt>&gt;</tt><font color=blue><tt> choose -o selected.dat -x80 -l972 </tt> <em>file</em></font>
</blockquote>
Here is the actual test:
<blockquote>
      <tt>&gt;</tt><font color=blue><tt> surrogates -o -n19 selected.dat</tt></font>
  <br><tt>&gt;</tt><font color=blue><tt> predict -o -d1 -m3 -v0.1 
      selected.dat selected.dat_surr_??? | sort -nr</tt></font>
</blockquote>
If the line of output corresponding to 
<font color=blue><tt>selected.dat</tt></font> 
is the last, the null
hypothesis of a stationary, possibly rescaled, linear Gaussian random process
may be rejected at the 95% level of significance, since the prediction error of
the data is found to be smaller than that of the surrogates.
<p>
Or for a two sided test using time reversal symmetry statistic:
<blockquote>
      <tt>&gt;</tt><font color=blue><tt> surrogates -n39 selected.dat</tt></font>
  <br><tt>&gt;</tt><font color=blue><tt> timerev -d1 
      selected.dat selected.dat_surr_??? | sort -nr</tt></font>
</blockquote>
If the line of output corresponding to  
<font color=blue><tt>selected.dat</tt></font> 
is the last <font color=red>or</font>
the first, the null hypothesis of a stationary, possibly rescaled, linear
Gaussian random process may be rejected at the 95% level of significance, since
the time asymmetry of the data is found to be significantly different from 
that of the surrogates.
<p>
Test statistics can be derived from many of the programs given, including
prediction errors (<a href="predict.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/wuppertal/predict.html">predict</a>), third order statistics
(<a href="timerev.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/wuppertal/timerev.html">timerev</a>),
correlation sums (<a href="../../../../../tppmsgs/msgs0.htm#38" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/wuppertal/c2.html">c2</a>), as well as unstable periodic
orbits (<a href="upo.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/wuppertal/upo.html">upo</a>).
<p>
Surrogate data are made by <a href="surrogates.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/wuppertal/surrogates.html">surrogates</a>, or by a
version of <a href="randomize.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/wuppertal/randomize.html">randomize</a>.
<p>
<a href="../contents.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/docs/contents.html">Table of Contents</a> * <a href="../../index.html" tppabs="http://www.mpipks-dresden.mpg.de/~tisean/TISEAN_2.0/index.html" target="_top">TISEAN home</a>
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