Generating Surrogate Data for Time Series with Several Simultaneously Measured Variables
We propose an extension to multivariate time series of the phase-randomized Fourier-transform algorithm for generating surrogate data. Such surrogate data sets must mimic not only the autoncorrelations of each of the variables in the original data set, they must minic the cross-correlations between all the variables as well. The method is applied both to a simulated example (the three componets of the Lorenz equations) and to data from a multichannel electronencephalogram. PACS numbers: 05.45+b, 02.50.SK, 02.70.Lq, 87.80.+s
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|Date of creation:||Apr 1994|
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