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Surrogate methods

Iterated amplitude-adjusted Fourier transform (iAAFT) surrogates

Example 1

npts = 200
ts = sin.(diff(rand(npts + 1)))*0.5 .+ cos.(LinRange(0, 14*pi, npts))
p1 = plot(ts, label = "ts", lc = :black)
p2 = plot(iaaft(ts), label = "iaaft(ts)", xlabel = "Time step")
plot(p1, p2, layout = (2, 1))
ylabel!("Value");

Example 2

This gif shows iAAFT surrogate realizations for an cyclostationary AR2 (NSAR2) process (nsar2) from Lucio et al. (2012).

Example 3

This gif shows iAAFT surrogate realizations for an AR1 process.

References

Lucio et al., Phys. Rev. E 85, 056202 (2012), after J. Timmer, Phys. Rev. E 58, 5153 (1998). https://journals.aps.org/pre/abstract/10.1103/PhysRevE.85.056202