Testing for random walk

被引：4
|
作者：
Nakamura, Tomomichi [1 ]
Small, Michael [1 ]
机构：
[1] Hong Kong Polytech Univ, Dept Elect & Informat Engn, Kowloon, Hong Kong, Peoples R China
来源：
PHYSICS LETTERS A | 2007年 / 362卷 / 2-3期
关键词：
random walk; hypotheses testing; surrogate data;
D O I：
10.1016/j.physleta.2006.10.018
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We describe a method for identifying random walks. This method is based on the previously proposed small shuffle surrogate method. Hence, our method does not depend on the specific data distribution, although previously proposed methods depend on properties of the data distribution. The method is demonstrated for numerical data generated by known systems, and applied to several actual time series of special interest. (c) 2006 Elsevier B.V. All rights reserved.
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页码：189 / 197
页数：9
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