A New Method of Detecting Nonlinearity for Time Series Based on Fisher Projection Transform

Lu shi-kun Li xi-hai Niu Chao Zeng xiao-niu Yang xiao-yun

Journal of Vibration and Shock ›› 2015, Vol. 34 ›› Issue (5) : 179-185.

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Journal of Vibration and Shock ›› 2015, Vol. 34 ›› Issue (5) : 179-185.

A New Method of Detecting Nonlinearity for Time Series Based on Fisher Projection Transform

  • In order to enhance the performance and stability of surrogate data method, we introduce Fisher projection method to combine and project the different nonlinear statistics. In this way, the performance of different statistics can complement each other. In this paper, six kinds of nonlinear chaotic series and linear Gaussian white noise are used to experiment. The results show that the performance of the surrogate data method has been significantly improved. The stability and suitability of the method become better. Specially, comparing with others, the combination of third-order autocovariance, kurtosis and third-order auocorrelation statistics has better performance and suitability.
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Abstract

In order to enhance the performance and stability of surrogate data method, we introduce Fisher projection method to combine and project the different nonlinear statistics. In this way, the performance of different statistics can complement each other. In this paper, six kinds of nonlinear chaotic series and linear Gaussian white noise are used to experiment. The results show that the performance of the surrogate data method has been significantly improved. The stability and suitability of the method become better. Specially, comparing with others, the combination of third-order autocovariance, kurtosis and third-order auocorrelation statistics has better performance and suitability.

Key words

Nonlinear test / surrogate data / test statistics / Fisher projection;

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Lu shi-kun Li xi-hai Niu Chao Zeng xiao-niu Yang xiao-yun. A New Method of Detecting Nonlinearity for Time Series Based on Fisher Projection Transform[J]. Journal of Vibration and Shock, 2015, 34(5): 179-185

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