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Journal Articles Journal of Statistical Mechanics: Theory and Experiment Year : 2009

Stationarization via Surrogates

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Pierre Borgnat
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  • PersonId : 838021
Patrick Flandrin
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Abstract

The method of surrogate data, classically used for nonlinearity tests, amounts to the use of some constrained noise providing reference for statistical test. It is revisited here as a method for stationarization and this feature is put forward in the context of nonstationarity testing. The stationarization property of surrogates is first explored in a time-frequency perspective and used for devising a test of stationarity relative to an observation time. Then, more general forms of surrogates are developed, directly in time-frequency or mixed domains of representation (ambiguity and time-lag domains included) and it is shown how they allow for other tests of nonstationary features: detection of the existence of a transient in some noise; assessment of nonstationary cross-correlations.
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Dates and versions

ensl-00338219 , version 1 (12-11-2008)

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Pierre Borgnat, Patrick Flandrin. Stationarization via Surrogates. Journal of Statistical Mechanics: Theory and Experiment, 2009, 2009-01, pp.P01001. ⟨10.1088/1742-5468/2009/01/P01001⟩. ⟨ensl-00338219⟩
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