SurrogateData function

Generate surrogate data for permutation/randomization tests

SurrogateData generates surrogate data under several different null models.

SurrogateData( ts, method = c("random_shuffle", "ebisuzaki",
"seasonal"), num_surr = 100, T_period = 1, alpha = 0 )

Arguments

• ts: the original time series
• method: which algorithm to use to generate surrogate data
• num_surr: the number of null surrogates to generate
• T_period: the period of seasonality for seasonal surrogates (ignored for other methods)
• alpha: additive noise factor: N(0,alpha)

Returns

A matrix where each column is a separate surrogate with the same length as ts.

Details

Method "random_shuffle" creates surrogates by randomly permuting the values of the original time series.

Method "Ebisuzaki" creates surrogates by randomizing the phases of a Fourier transform, preserving the power spectra of the null surrogates.

Method "seasonal" creates surrogates by computing a mean seasonal trend of the specified period and shuffling the residuals. It is presumed that the seasonal trend can be exracted with a smoothing spline. Additive Gaussian noise is included according to N(0,alpha).

Examples

data("block_3sp")
ts <- block_3sp$x_t
SurrogateData(ts, method = "ebisuzaki")