Constrained surrogate time series with preservation of the mean and variance structure.
A method is presented for generating surrogates that are constrained realizations of a time series but which preserve the local mean and variance of the original signal. The method is based on the popular iterated amplitude adjusted Fourier transform method but makes use of a wavelet transform to constrain behavior in the time domain. Using this method it is possible to test for local changes in the nonlinear properties of the signal. We present an example for a change in Hurst exponent in a time series produced by fractional Brownian motion.
Keylock
C J
CJ
Earth and Biosphere Institute, University of Leeds, Woodhouse Lane, Leeds LS2 9JT, United Kingdom.