TimeseriesSurrogates.jl

TimeseriesSurrogates is a Julia package for generating surrogate timeseries. It is part of JuliaDynamics, a GitHub organization dedicated to creating high quality scientific software.

If you are new to this method of surrogate time series, feel free to read the What is a surrogate? page.

API

TimeseriesSurrogates.jl exports two main functions. Both of them dispatch on the chosen method, a subtype of Surrogate. It is recommended to standardize the signal before using these functions, i.e. subtract mean and divide by standard deviation.

TimeseriesSurrogates.surrogeneratorFunction
surrogenerator(x, method::Surrogate) → sg::SurrogateGenerator

Initialize a generator that creates surrogates of x on demand, based on given method. This is efficient, because for most methods some things can be initialized and reused for every surrogate.

To generate a surrogate, call sg as a function with no arguments, e.g.:

sg = surrogenerator(x, method)
for i in 1:1000
    s = sg()
    # do stuff with s and or x
    result[i] = stuff
end
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Surrogate methods

TimeseriesSurrogates.RandomShuffleType
RandomShuffle() <: Surrogate

A random constrained surrogate, generated by shifting values around.

Random shuffle surrogates preserve the mean, variance and amplitude distribution of the original signal. Properties not preserved are any temporal information, such as the power spectrum and hence linear correlations.

The null hypothesis this method can test for is whether the data are uncorrelated noise, possibly measured via a nonlinear function. Specifically, random shuffle surrogate can test the null hypothesis that the original signal is produced by independent and identically distributed random variables[^Theiler1991, ^Lancaster2018].

Beware: random shuffle surrogates do not cover the case of correlated noise[Lancaster2018].

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TimeseriesSurrogates.BlockShuffleType
BlockShuffle(n::Int) <: Surrogate

A block shuffle surrogate constructed by dividing the time series into n blocks of roughly equal width at random indices (end blocks are wrapped around to the start of the time series).

Block shuffle surrogates roughly preserve short-range temporal properties in the time series (e.g. correlations at lags less than the block length), but break any long-term dynamical information (e.g. correlations beyond the block length).

Hence, these surrogates can be used to test any null hypothesis aimed at comparing short-range dynamical properties versus long-range dynamical properties of the signal.

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TimeseriesSurrogates.CycleShuffleType
CycleShuffle(n::Int = 7, σ = 0.5) <: Surrogate

Cycle shuffled surrogates[Theiler1995] that identify successive local peaks in the data and shuffle the cycles in-between the peaks. Similar to BlockShuffle, but here the "blocks" are defined as follows:

  1. The timeseries is smoothened via convolution with a Gaussian (DSP.gaussian(n, σ)).
  2. Local maxima of the smoothened signal define the peaks, and thus the blocks in between them.
  3. The first and last index of timeseries can never be peaks and thus signals that should have peaks very close to start or end of the timeseries may not perform well. In addition, points before the first or after the last peak are never shuffled.
  4. The defined blocks are randomly shuffled as in BlockShuffle.

CSS are used to test the null hypothesis that the signal is generated by a periodic oscillator with no dynamical correlation between cycles, i.e. the evolution of cycles is not deterministic.

See also PseudoPeriodic.

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TimeseriesSurrogates.CircShiftType
CircShift(n) <: Surrogate

Surrogates that are circularly shifted versions of the original timeseries.

n can be an integer (meaning to shift for n indices), or any vector of integers, which which means that each surrogate is shifted by an integer, selected randomly among the entries in n.

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TimeseriesSurrogates.RandomFourierType
RandomFourier(phases = true) <: Surrogate

A surrogate that randomizes the Fourier components of the signal in some manner. If phases==true, the phases are randomized, otherwise the amplitudes are randomized. FT is an alias for RandomFourier.

Random Fourier phase surrogates[Theiler1991] preserve the autocorrelation function, or power spectrum, of the original signal. Random Fourier amplitude surrogates preserve the mean and autocorrelation function but do not preserve the variance of the original. Random amplitude surrogates are not common in the literature, but are provided for convenience.

Random phase surrogates can be used to test the null hypothesis that the original signal was produced by a linear Gaussian process [Theiler1991].

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TimeseriesSurrogates.TFTSType
TFTS(fϵ::Real)

A truncated Fourier transform surrogate[Nakamura2006] (TFTS).

TFTS surrogates are generated by leaving some frequencies untouched when performing the phase shuffling step (as opposed to randomizing all frequencies, like for RandomFourier surrogates).

These surrogates were designed to deal with data with irregular fluctuations superimposed over long term trends (by preserving low frequencies)[Nakamura2006]. Hence, TFTS surrogates can be used to test the null hypothesis that the signal is a stationary linear system generated the irregular fluctuations part of the signal[Nakamura2006].

Controlling the truncation of the spectrum

The truncation parameter fϵ ∈ [-1, 0) ∪ (0, 1] controls which parts of the spectrum are preserved.

  • If fϵ > 0, then indicates the ratio of high frequency domain to the entire frequency domain. For example, fϵ = 0.5 preserves 50% of the frequency domain (randomizing the higher frequencies, leaving low frequencies intact).
  • If fϵ < 0, then indicates ratio of low frequency domain to the entire frequency domain. For example, fϵ = -0.2 preserves 20% of the frequency domain (leaving higher frequencies intact, randomizing the lower frequencies).
  • If fϵ ± 1, then all frequencies are randomized. The method is then equivalent to RandomFourier.

The appropriate value of strongly depends on the data and time series length, and must be manually determined[Nakamura2006], for example by comparing periodograms for the time series and the surrogates.

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TimeseriesSurrogates.AAFTType
AAFT()

An amplitude-adjusted-fourier-transform surrogate[Theiler1991].

AAFT have the same linear correlation, or periodogram, and also preserves the amplitude distribution of the original data.

AAFT can be used to test the null hypothesis that the data come from a monotonic nonlinear transformation of a linear Gaussian process (also called integrated white noise)[Theiler1991].

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TimeseriesSurrogates.TAAFTType
TAAFT(fϵ)

An truncated version of the amplitude-adjusted-fourier-transform surrogate[Theiler1991][Nakamura2006].

The truncation parameter and phase randomization procedure is identical to TFTS, but here an additional step of rescaling back to the original data is performed. This preserves the amplitude distribution of the original data.

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TimeseriesSurrogates.IAAFTType
IAAFT(M = 100, tol = 1e-6, W = 75)

An iteratively adjusted amplitude-adjusted-fourier-transform surrogate[SchreiberSchmitz1996].

IAAFT surrogate have the same linear correlation, or periodogram, and also preserves the amplitude distribution of the original data, but are improved relative to AAFT through iterative adjustment (which runs for a maximum of M steps). During the iterative adjustment, the periodograms of the original signal and the surrogate are coarse-grained and the powers are averaged over W equal-width frequency bins. The iteration procedure ends when the relative deviation between the periodograms is less than tol (or when M is reached).

IAAFT, just as AAFT, can be used to test the null hypothesis that the data come from a monotonic nonlinear transformation of a linear Gaussian process.

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TimeseriesSurrogates.AutoRegressiveType
AutoRegressive(n, method = LPCLevinson())

Autoregressive surrogates of order-n. The autoregressive coefficients φ are estimated using DSP.lpc(x, n, method), and thus see the documentation of DSP.jl for possible methods.

While these surrogates are obviously suited to test the null hypothesis whether the data are coming from a autoregressive process, the Fourier Transform-based surrogates are probably a better option. The current method is more like an explicit way to produce surrogates for the same hypothesis by fitting a model. It can be used as convient way to estimate autoregressive coefficients and automatically generate surrogates based on them.

The coefficients φ of the autoregressive fit can be found by doing

sg = surrogenerator(x, AutoRegressive(n))
φ = sg.init.φ
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TimeseriesSurrogates.PseudoPeriodicType
PseudoPeriodic(d, τ, ρ, shift=true) <: Surrogate

Create surrogates suitable for pseudo-periodic signals. They retain the periodic structure of the signal, while inter-cycle dynamics that are either deterministic or correlated noise are destroyed (for appropriate ρ choice). Therefore these surrogates are suitable to test the null hypothesis that the signal is a periodic orbit with uncorrelated noise[Small2001].

Arguments d, τ, ρ are as in the paper, the embedding dimension, delay time and noise radius. The method works by performing a delay coordinates ambedding via the library DynamicalSystems.jl. See its documentation for choosing appropriate values for d, τ. For ρ, we have implemented the method proposed in the paper in the function noiseradius.

The argument shift is not discussed in the paper. If shift=false we adjust the algorithm so that there is little phase shift between the periodic component of the original and surrogate data.

See also CycleShuffle.

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TimeseriesSurrogates.WLSType
WLS(surromethod::Surrogate = IAAFT(), 
    rescale::Bool = true,
    wt::Wavelets.WT.OrthoWaveletClass = Wavelets.WT.Daubechies{16}())

A wavelet surrogate generated by taking the maximal overlap discrete wavelet transform (MODWT) of the signal, shuffling detail coefficients at each dyadic scale using the provided surromethod, then taking the inverse transform to obtain a surrogate.

Coefficient shuffling method

In contrast to the original implementation where IAAFT is used, you may choose to use any surrogate method from this package to perform the randomization of the detail coefficients at each dyadic scale. Note: The iterative procedure after the rank ordering step (step [v] in [Keylock2006]) is not performed in this implementation.

If surromethod == IAAFT(), the wavelet surrogates preserves the local mean and variance structure of the signal, but randomises nonlinear properties of the signal (i.e. Hurst exponents)[Keylock2006]. These surrogates can therefore be used to test for changes in nonlinear properties of the original signal.

In contrast to IAAFT surrogates, the IAAFT-wavelet surrogates also preserves nonstationarity. Using other surromethods does not necessarily preserve nonstationarity.

To deal with nonstationary signals, Keylock (2006) recommends using a wavelet with a high number of vanishing moments. Thus, the default is to use a Daubechies wavelet with 16 vanishing moments.

Rescaling

If rescale == true, then surrogate values are mapped onto the values of the original time series, as in the AAFT algorithm. If rescale == false, surrogate values are not constrained to the original time series values.

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TimeseriesSurrogates.ShuffleDimensionsType
ShuffleDimensions()

Multidimensional surrogates of input datasets (DelayEmbeddings.Dataset, which are also multidimensional) that have shuffled dimensions in each point.

These surrogates destroy the state space structure of the dataset and are thus suited to distinguish deterministic datasets from high dimensional noise.

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Utils

TimeseriesSurrogates.noiseradiusFunction
noiseradius(x::AbstractVector, d::Int, τ, ρs, n = 1) → ρ

Use the proposed* algorithm of[Small2001] to estimate optimal ρ value for PseudoPeriodic surrogates, where ρs is a vector of possible ρ values.

*The paper is ambiguous about exactly what to calculate. Here we count how many times we have pairs of length-2 that are identical in x and its surrogate, but are not also part of pairs of length-3.

This function directly returns the arg-maximum of the evaluated distribution of these counts versus ρ, use TimeseriesSurrogates._noiseradius with same arguments to get the actual distribution. n means to repeat τhe evaluation n times, which increases accuracy.

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Visualization

TimeseriesSurrogates.jl provides the function surroplot(x, s), which comes into scope when using Plots. This function is used in the example applications.

References

  • Theiler1991J. Theiler, S. Eubank, A. Longtin, B. Galdrikian, J. Farmer, Testing for nonlinearity in time series: The method of surrogate data, Physica D 58 (1–4) (1992) 77–94.
  • Theiler1995J. Theiler, On the evidence for low-dimensional chaos in an epileptic electroencephalogram, Phys. Lett. A 196
  • Theiler1991J. Theiler, S. Eubank, A. Longtin, B. Galdrikian, J. Farmer, Testing for nonlinearity in time series: The method of surrogate data, Physica D 58 (1–4) (1992) 77–94.
  • Nakamura2006Nakamura, Tomomichi, Michael Small, and Yoshito Hirata. "Testing for nonlinearity in irregular fluctuations with long-term trends." Physical Review E 74.2 (2006): 026205.
  • Theiler1991J. Theiler, S. Eubank, A. Longtin, B. Galdrikian, J. Farmer, Testing for nonlinearity in time series: The method of surrogate data, Physica D 58 (1–4) (1992) 77–94.
  • Theiler1991J. Theiler, S. Eubank, A. Longtin, B. Galdrikian, J. Farmer, Testing for nonlinearity in time series: The method of surrogate data, Physica D 58 (1–4) (1992) 77–94.
  • Nakamura2006Nakamura, Tomomichi, Michael Small, and Yoshito Hirata. "Testing for nonlinearity in irregular fluctuations with long-term trends." Physical Review E 74.2 (2006): 026205.
  • SchreiberSchmitz1996T. Schreiber; A. Schmitz (1996). "Improved Surrogate Data for Nonlinearity Tests". Phys. Rev. Lett. 77 (4)
  • Small2001Small et al., Surrogate test for pseudoperiodic time series data, Physical Review Letters, 87(18)
  • Keylock2006C.J. Keylock (2006). "Constrained surrogate time series with preservation of the mean and variance structure". Phys. Rev. E. 73: 036707. doi:10.1103/PhysRevE.73.036707.
  • Small2001Small et al., Surrogate test for pseudoperiodic time series data, Physical Review Letters, 87(18)