surrogate(tseries) | R Documentation |
Computes ns
surrogate samples from the original data
x
. If fft
is FALSE
, then x
is mixed in
temporal order, so that all temporal dependencies are eliminated, but
the histogram of the original data is preserved. If fft
, then
surrogate data with the same spectrum as x
is computed by
randomizing the phases of the Fourier coefficients of x
. If in
addition amplitude
is TRUE
, then also the amplitude
distribution of the original series is preserved.
Missing values are not allowed.
surrogate (x, ns = 1, fft = FALSE, amplitude = FALSE)
x |
a numeric vector or time series. |
ns |
the number of surrogate series to compute. |
fft |
a logical indicating whether phase randomized surrogate data is generated. |
amplitude |
a logical indicating whether amplitude-adjusted surrogate data is computed. |
To compute the phase randomized surrogate and the amplitude adjusted data algorithm 1 and 2 from Theiler et al. (1992), pp. 183, 184 are used.
A matrix with ns
columns and length{x}
rows containing
the surrogate data. Each column contains one surrogate sample.
A. Trapletti
J. Theiler, B. Galdrikian, A. Longtin, S. Eubank, and J. D. Farmer (1992): Using Surrogate Data to Detect Nonlinearity in Time Series, in Nonlinear Modelling and Forecasting, Eds. M. Casdagli and S. Eubank, Santa Fe Institute, Addison Wesley, pp. 163-188.
x <- 1:10 surrogate (x)