Constrained Randomization of Time Series Data

@inproceedings{Schreiber1998ConstrainedRO,
  title={Constrained Randomization of Time Series Data},
  author={Thomas Schreiber},
  year={1998}
}
A new method is introduced to create artificial time sequences that fulfil given constraints but random otherwise. Constraints are usually derived from a measured signal for which surrogate da to be generated. They are fulfilled by minimizing a suitable cost function using simulated annea A wide variety of structures can be imposed on the surrogate series, including multivariate, nonli and nonstationary properties. When the linear correlation structure is to be preserved, the new app avoids… CONTINUE READING

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