Phase randomisation: numerical study of higher cumulants behaviour.

DOI10.1016/S0167-9473(01)00018-4zbMath1079.62543WikidataQ56994716 ScholiaQ56994716MaRDI QIDQ5958634

Kerrie L. Mengersen, Darfiana Nur, Rodney Carl Wolff

Publication date: 3 March 2002

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

Nonlinear time seriesHigher cumulantsMarkov Chain Monte CarloStationaritySurrogate series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Uses Software

• bootlib

Cites Work

• Testing for nonlinearity in time series: the method of surrogate data
• Constrained-realization Monte-Carlo method for hypothesis testing
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Sampling-Based Approaches to Calculating Marginal Densities
• Properties of a fourier bootstrap method for time series
• PHASE RANDOMIZATION: A CONVERGENCE DIAGNOSTIC TEST FOR MCMC
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