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Journal articles

Stationarization via Surrogates

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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Contributor : Pierre Borgnat Connect in order to contact the contributor
Submitted on : Wednesday, November 12, 2008 - 11:31:22 AM
Last modification on : Saturday, March 27, 2021 - 7:26:03 AM
Long-term archiving on: : Tuesday, October 9, 2012 - 3:16:03 PM


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



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