Physica D 225 (2007) 219–228

www.elsevier.com/locate/physd

A wavelet-based method for surrogate data generation

Christopher J. Keylock ∗
School of Geography, Earth and Biosphere Institute, University of Leeds, Woodhouse Lane, Leeds LS2 9JT, UK

Received 14 April 2006; received in revised form 17 September 2006; accepted 25 October 2006
Available online 28 November 2006
Communicated by C.K.R.T. Jones

Abstract

Hypothesis testing based on surrogate data has emerged as a popular way to test the null hypothesis that a signal is a realisation of a linear
Gaussian, stochastic process. If these surrogates are constrained to the values and power spectrum of the original data there is no need to formulate
a pivotal test statistic. In this paper a method is presented for generating constrained surrogates using a wavelet transform, introducing a threshold
above which wavelet detail coefficients are pinned to their original values. Such surrogates avoid problems of nonstationarity for pseudo-periodic
data and appear to be more robust than conventional approaches for situations where period modulation is corrupting a Gaussian stochastic
process. When used for generating ensemble realisations of a process, the approach used here avoids some of the difficulties of methods based on
simple randomisation of wavelet coefficients.
c 2006 Elsevier B.V. All rights reserved.

Keywords: Surrogate data; Wavelet transform; Constrained realisations; Hypothesis testing

1. Introduction produce realisations of a time-series that preserve the average

The Iterated Amplitude Adjusted Fourier Transform
(IAAFT) algorithm [16] was developed for testing the null
hypothesis that a time-series is a realisation of a linear,
Gaussian process and it has become a popular approach [7,
11], improving the convergence of a previous method [12,22–
24]. The method is based on storing the squared amplitudes
of the data series and then undertaking a random sort of the
values. The Fourier transform of the random sort is taken
and the squared amplitudes are replaced by those from the
original data, with the complex phases retained. The Fourier
transform is then inverted and rank-ordering is used to map
values in this surrogate series to those in the original series. The
modification to the spectral response that results from this rank-
ordering adjustment is dealt with by iterating this procedure
until no further re-ordering occurs. Hence, the surrogates are
constrained to the values of the original series as well as their
behaviour in the Fourier domain. The aim of this paper is
to develop a method that employs the wavelet transform to
∗ Tel.: +44 113 343 3307; fax: +44 113 343 3308.
E-mail address: c.j.keylock@leeds.ac.uk.
local properties of the original data [6] and also generates
constrained surrogates for use in hypothesis testing. The use of
the wavelet-based approach is shown to have certain advantages
when dealing with pseudo-periodic data and to data that is
possibly period-modulated.
Related wavelet-based methods to that proposed are
currently used in a variety of fields for developing ensemble
realisations of a phenomenon [1] or for placing confidence
limits on an observed response [2–4,9]. Such methods tend
to be based on undertaking a wavelet decomposition of a
signal, shuffling the wavelet coefficients and then inverting
the transform to produce a new realisation of the original
phenomenon. Because the wavelet power spectrum may be
proportional to the variance of the wavelet detail coefficients at
each dyadic scale, and this is left unchanged by such shuffling,
random realisations are generated that approximately preserve
the Fourier spectrum of the original signal. However, such
methods are not exact, meaning that a constrained realisation
of the data cannot be obtained. One difficulty with this
approach emerges from a consideration of the mechanics of
the wavelet decomposition, which is based on the dilation and
translation of a wavelet function that is convolved with a signal
f (t):

c 2006 Elsevier B.V. All rights reserved.

0167-2789/$ - see front matter

doi:10.1016/j.physd.2006.10.012
220 C.J. Keylock / Physica D 225 (2007) 219–228
Z +∞ 1

t −u

Wu,s = f (t) √ ψ dt. (1)
−∞ j s
As the scale s increases, the variability of f at lower
frequencies is captured, leading to a set of wavelet detail
coefficients whose own periodicity is proportional to s.
Hence, a difficulty with a simple shuffling of the wavelet
coefficients becomes apparent. The inherent periodicity of
the wavelet coefficients at a selected scale is no longer
preserved, meaning that an inverse wavelet transform is
applied to a set of coefficients that were not an admissible
product of the original wavelet transform. This deficiency
was overcome by [6] who used the Iterated Amplitude
Adjusted Fourier Transform (IAAFT) of [16] to randomise
the wavelet coefficients at each level obtained using the
Maximal Overlap Discrete Wavelet Transform (MODWT) [10].
This preserves the original histogram and the Fourier
spectrum of the processed signal, meaning that admissible
random arrangements of coefficients at each scale can be
obtained.
A difficulty with the IAAFT algorithm when generating
surrogates from pseudo-periodic data has been previously
identified by [19,20]. They found that a nonstationarity was
introduced into IAAFT surrogates and proposed a surrogate
generating method known as the PPS method that circumvented
this difficulty. However, their surrogates were not constrained
in the sense of [23] meaning that a pivotal test statistic had
to be derived [18]. The wavelet-based method developed in
this study also overcomes the nonstationarity problem of the
IAAFT algorithm but does yield a constrained realisation (the
spectrum and the histogram of values are both identical to
those in the original data). Hence, there is no need to rely on
a pivotal test statistic and a variety of tests for departure from
Gaussianity [17] can be employed. An example is provided that
shows that because the wavelet representation better preserves
the structure of periodic time series, improved results from
hypothesis testing may be obtained when a signal is affected
by period modulation.
2. Wavelet surrogate generation
The wavelet-based IAAFT algorithm or WIAAFT method
[6] for the time-series in Fig. 1 is outlined graphically in Fig. 2.
Application of the Maximal Overlap Discrete Wavelet Trans-
form (MODWT) to a time-series of length I = 2 J yields i =
1, . . . , I wavelet detail coefficients Wi at each of j = 1, . . . , J
dyadic scales. Scales j = 1, . . . , 6 for the time-series X of
Fig. 1 are given in Fig. 2 as a black line. If we consider each
of these sets of wavelet coefficients independently, then we can
apply the IAAFT algorithm to each to obtain randomised val-
ues that retain the original values and periodicities (upper grey
line in each plot). Clearly, the regularity of the coefficients is
preserved in a way that is not the case when randomising indi-
vidual coefficients or performing simple block randomisations,
meaning that the variability of the coefficients is on the scale of
the support of the wavelet, making inversion meaningful.
The method presented in [6] then also generated the
transpose of this set of values and used circular rotation and
Fig. 1. A time-series X and the standard deviation of the wavelet coefficients
(σw ) for each dyadic scale.
an error criterion (e.g. least-squares) to minimise the difference
between the original coefficients and the surrogate sets (middle
grey line of Fig. 2). After this operation has been performed
for all detail coefficients, the original approximation was added
back in and the MODWT inverted to give a surrogate time-
series. An iterative procedure identical to the equivalent stages
of the IAAFT was then used to recover the original values in the
data and maintain the spectral similarity between time-series
and surrogates. Thus, the wavelet decomposition, IAAFT of
the detail coefficients, matching and inverse wavelet transform
serve as a prequel to the standard IAAFT algorithm. The bottom
grey line in Fig. 2 shows the coefficients that would result if the
final surrogate were to be decomposed using the MODWT. The
WIAAFT localises the structure in the original signal (Fig. 3),
while still randomising nonlinear aspects of the signal. It has
been shown [6] that this localisation property has potential for
detecting changes in the Hurst exponent for signals that may be
approximated by fractional Brownian motion.
Rather than using an optimal matching procedure as above,
the wavelet-based surrogate data algorithm presented in this
paper introduces a threshold criterion that is used to ‘pin’
particular wavelet coefficients at a scale j to the same position
i in the wavelet domain for both the original and surrogate
data. Hence, in order to distinguish this method from the others
considered in this paper, we term this the Pinned WIAAFT
(PWIAAFT). In order to see how this method works, consider
Fig. 4, which shows the normalised wavelet coefficients (mean
of ∼0 subtracted and division by the standard deviation) for
dyadic scale 4 for 256 years of annual sunspot data [26]
given in Fig. 5(a). An IAAFT realisation of these wavelet
coefficients is shown as a dotted line in Fig. 4 and any
alignment between these two signals is purely coincidental. The
PWIAAFT algorithm approximately aligns the surrogate with
the data by pinning particular coefficients. The dark grey line
in Fig. 4 shows a shuffled sequence of the coefficients with
some values ‘pinned’ in place. These are visible as relatively
smooth parts of this signal associated with local maxima and
 C.J. Keylock / Physica D 225 (2007) 219–228
Fig. 2. Wavelet coefficients for the first 6 scales of time series X (Fig. 1). Values are displaced from one another by 10 in (e) and 4 in all other plots for clarity. See
the text for an explanation of the stages illustrated here.
Fig. 3. The time-series X (black line) from Fig. 1, three WIAAFT surrogates
(light grey) and three IAAFT surrogates (dark grey) each displaced from the
other by 5 units for clarity. The localisation property of the WIAAFT surrogates
is clear.
minima in the original coefficients. The threshold used here (to
be discussed below) fixes 51 of 256 coefficients at this scale.
Altogether, 629 from 2048 detail coefficients are fixed for this
threshold, with the majority (386 from 512) fixed in scales 3
and 6, as expected from the wavelet variances in Fig. 5(b).
After the shuffle stage of the IAAFT algorithm (with the
pinned coefficients held in place), we obtain the upper light
grey line in Fig. 4 and over a series of iterations, irregularities
at a frequency higher than that permitted by the support of the
wavelet at this scale are removed to give a random realisation
of Wi,4 that respects the original spectrum and histogram of
values as well as the locations of the major fluctuations in the
221
Fig. 4. The coefficients Wi,4 for 256 years of sunspot numbers. The original
values are given in black, with an IAAFT surrogate as a dotted line. The text
explains the stages of the PWIAAFT algorithm shown here as dark and light
grey lines.
original. The difference between the top and bottom signals
in Fig. 4 is given in Fig. 6 in the same units as Fig. 4. The
locations where there is no difference correspond to the pinned
locations. Undertaking this procedure over all scales yields
random realisations of each set of detail coefficients that can
then be inverted with an inverse wavelet transform to produce a
surrogate signal. Following [6], this acts as a preliminary stage
to the standard IAAFT algorithm, the rank-order matching and
subsequent Fourier transform stages of which are then used
to ensure that a constrained surrogate time series [22,23] is
produced. The use of the wavelet transform reduces the range
of possible realizations of the surrogates. The degree to which
222 C.J. Keylock / Physica D 225 (2007) 219–228
Fig. 5. Sunspot numbers from 1700 to 1955 (a) together with the wavelet
variances at 8 dyadic scales (b). Data courtesy of SIDC, RWC Belgium, World
Data Center for the Sunspot Index, Royal Observatory of Belgium.
Fig. 6. The difference between the original set of coefficients Wi,4 given in
Fig. 4 and the set obtained using the PWIAAFT algorithm. The units for the
ordinate are those used in Fig. 4.
this occurs varies as a function of the value for the threshold.
As demonstrated below, for reasonable choice of the threshold
this restriction is not sufficient to prevent legitimate hypothesis
testing.
3. Threshold determination
Because the wavelet power spectrum is proportional to the
variance of the Wi at each j, and because hWi i j ∼ 0, Wi,2 j
indicates the local energy at a particular location and scale.
Hence, the threshold is defined as a function of the squared
values for Wi, j . A measure of total energy K is given by:
I X
J
X will occur. Note that this use of a threshold to add “noise” to
K = Wi,2 j . (2)
i=1 j=1
In this paper we base our threshold on the unpinned energy K up .
_
Hence, if the pinned wavelet coefficients are denoted by W i, j
then the pinned energy is
I X
J
_ 2
X
Kp = W i, j (3)
i=1 j=1
and the threshold t∗ is given by:
Kp K up
t∗ = 1 − = . (4)
K K
Fig. 7 indicates how various properties of four different time
series relate to a choice of t∗ . Each time series consisted of
1024 values and were obtained as explained in Table 1 where ε
is a zero mean and unit variance Gaussian noise. The black line
gives the energy at threshold t∗ as a function of the maximum
squared value for any coefficient K (t∗ )/ max(Wi,2 j ). The black
dotted line gives the proportion of the wavelet coefficients
that are fixed as a function of t∗ . Hence, in Fig. 7(a) for
K up /K = t∗ = 0.40 it would appear that ∼15% of the
coefficients are pinned (containing 60% of the energy) and
that K (t∗ )/ max(Wi,2 j ) is also ∼15%. If a threshold is chosen
at t∗ = 0 then the surrogate and original will be identical.
Thus, it is necessary to choose a threshold that permits sufficient
variability that, upon applying the inverse transform, the ranked
value of the preliminary surrogate signal at position i is not
identical to that for the original signal. This is because the
next stage of the IAAFT algorithm is to replace all values in
the surrogate with those from the original using rank-order
matching. In this regard, the proportion of energy pinned at each
location i (but integrated over all scales j) is of importance and
this is given by K p (i)/K (i), where
J
_ 2
X
K p (i) = W i, j
j=1
(5)
J
X
K (i) = Wi,2 j .
j=1
The solid grey line in Fig. 7 shows hK p (i)/K i i with the
standard deviation given by the grey dotted line.
The correlation between the original values for AR2b and
AR2p, and values derived from a single surrogate obtained with
varying t∗ are given in Figs. 8 and 9. For t∗ = 0.01 there is
an almost perfect correlation and little randomisation has taken
place. As t∗ increases, the coherence with the original data is
reduced. From Fig. 7 it is clear that, for t∗ = 0.10, twice as
many coefficients are pinned for the AR2b series compared to
AR2p. However, the peaked nature of the energy spectrum for
the latter series (Fig. 10) means that the threshold choice of
t∗ = 0.10 is less effective at randomising the values of the
time series. Thus, this comparison of broad and peaked spectra
would suggest that t∗ = 0.10 is an approximate lower bound for
a choice of threshold to ensure that satisfactory randomisation
the surrogate is qualitatively similar to the approach adopted
by [19,20] with the difference that our approach operates in
the wavelet domain while their method was applied to the
embedded time series.
 C.J. Keylock / Physica D 225 (2007) 219–228 223

Table 1
The definition of the four time series used in Fig. 7 and the manner in which they were obtained

Signal Description Explanation

AR2b Second order autoregressive process with a broad energy x (t) = 0.8xt−1 − 0.25xt−2 + ε. Obtain 2048 values and discard the first half
spectrum
AR2p Second order autoregressive process with a peaked energy x (t) = 1.59xt−1 − 0.96xt−2 + ε. Obtain 2048 values and discard the first half
spectrum
dq/dt = − (r + s) , dr/dt = q + αr,
Rch Chaotic realisation from the Rössler system [15]
ds/dt = β + t (q − γ ) ;
α = 0.398, β = 2, γ = 4. Integrate for 20 480 steps with a unit of 0.1, discard
the first half and regularly sample 1 in 10 of the remaining values for r .
dq/dt = − (r + s) , dr/dt = q + αr,
Rcy Cyclic realisation from the Rössler system [15]
ds/dt = β + t (q − γ ) ;
α = 0.3909, β = 2, γ = 4. Integrate for 20 480 steps with a unit of 0.1, discard
the first half and regularly sample 1 in 10 of the remaining values for r .

Fig. 7. Properties of four signals described in Table 1 as a function of the threshold t∗ = K up /K . The black solid line is K (t∗ )/ max(Wi,2 j ), the black dotted line
is the number of pinned detail coefficients as a function of the total number of such coefficients, the grey solid line is K p (i) /K i , while the grey dotted line is the



standard deviation of K p (i) /K i .

Table 2
The mean probability per datum of the value for the surrogate replicating that for the data using the first 128 values of the Rch time series

I IAAFT PWIAAFT PWIAAFT PWIAAFT PWIAAFT PWIAAFT

(t∗ = 0.01) (t∗ = 0.03) (t∗ = 0.10) (t∗ = 0.30) (t∗ = 1.00)
128 0.0073 0.4211 0.2530 0.0569 0.0403 0.0061
256 0.0045 0.1347 0.0480 0.0217 0.0234 0.0031
512 0.0031 0.1114 0.0316 0.0095 0.0098 0.0016
1024 0.0008 0.0966 0.0186 0.0080 0.0050 0.0012

The chosen threshold needs to be sufficiently large that the
surrogates are a random realisation of the original data in order
for hypothesis testing to be robust. Table 2 gives the mean
similarity between surrogates and the Rch (Table 1) data as a
function of the length of the data I and the manner in which the
surrogates are generated. Surrogates were derived for a time-
series of length I and the first 128 values in the surrogate
compared to the first 128 in Rch. Table 2 records the average
over all 128 locations of the proportion of matching occurrences
for I varying from 128 to 2048. As expected the values for
the IAAFT and PWIAAFT (t∗ = 1.00) surrogates are ∼1/I
and while other choices of t∗ lead to much greater values,
for all but the smallest datasets and the lowest choices for t∗ ,
the probability of a surrogate replicating the data or another
224 C.J. Keylock / Physica D 225 (2007) 219–228

Fig. 8. The relation between values for AR2b and values derived from a surrogate with a varying choice of t∗ . Fig. 8(f) shows an IAAFT surrogate for comparison.

Fig. 9. The relation between values for AR2p and values derived from a surrogate with a varying choice of t∗ . Fig. 9(f) shows an IAAFT surrogate for comparison.

surrogate is extremely low. A comparison with the results for where xi is the value of a datum at time t and ψ is the
the IAAFT surrogates would suggest that it is certainly possible separation distance. A two-tailed test at a particular significance
to analyse legitimately a dataset of length I > 512 for t∗ = level g can be formulated by generating 2/g − 1 surrogates.
0.10. We employed (6) at the 5% level, meaning that 39 surrogates
were generated and the degree of difference between A for
4. Testing the algorithm the data and for surrogates was given both from the ranked
position of the data asymmetry with respect to the surrogates
The first test employed to compare the IAAFT and and deriving z scores for the surrogates by dividing the distance
PWIAAFT algorithms was based on the time asymmetry between the asymmetry of the data and the mean asymmetry
A [17]: of the surrogates by the standard deviation of the surrogates’
D
3 E. D
2 E 32 asymmetry (with |z| > 1.96, indicating a significant difference
A (ψ) = xt − xt−ψ xt − xt−ψ (6) at the 5% level). Each time series (and surrogate) contained
 C.J. Keylock / Physica D 225 (2007) 219–228 225

Fig. 10. Power spectra (average of 100 realisations of the signal) and time
Fig. 12. The cyclic path on the Rössler attractor Rcy (black line) together with
series plots for AR2b (black line) and AR2p (grey line). The ordinate in (b)
an IAAFT surrogate (dark grey line) and a PWIAAFT (t∗ = 0.10) surrogate
is standardised by the mean and standard deviation with the values for AR2p
(light grey line). The surrogates are displaced from the data by −10 and −20,
displaced by −5 for clarity.
respectively, for clarity.

ψ = 1, 2, 3, 4, 5. For AR2b IAAFT surrogates, there were 2

rejections at the 10% level for ψ = 1, 2, 3, 4, 5. No incorrect
rejections of the null hypothesis for PWIAAFT surrogates
occurred for either time series at any value of ψ or t∗ . The
pseudo-periodic nature of AR2p would appear to be responsible
for some of the difficulties with the IAAFT algorithm [19,
20] and the introduction of artefacts to an IAAFT surrogate in
comparison to the PWIAAFT method for the pseudo-periodic
Rcy data can be seen in Fig. 12.
This nonstationarity in the surrogates could be a problem
if one wished to preserve additional properties of the signal
for more complex tests. For example, consider the pointwise
Hölder exponent of some function f at a position xi given by
α p (xi ). This is given by the supremum of the set of non-integer
real numbers α that fulfil
Fig. 11. Mean values and ±2 standard deviation error bars for the z scores from  f (x) − Px(i) (x) ≤ K |x − xi |α

the time asymmetry test A(ψ = 1, . . . , 5) for the AR2b and AR2p times series.
Results using the IAAFT method are in black and PWIAAFT surrogates are in
grey. For the latter, the horizontal line is t∗ = 0.10, the circle is t∗ = 0.20, and
the diamond is t∗ = 0.30. Values are displaced horizontally a small distance
from the respective integer value of ψ for clarity.
1024 values and the testing process was repeated 50 times
in order to determine the robustness of the results. The data
series used were AR2b and AR2p for which the null hypothesis
should be true.
Fig. 11 shows the results for AR2b and AR2p based on z
scores. No rejections of the null hypothesis appear to occur
at the 5% level if we assume normality of the surrogates.
However, while for AR2b the results for IAAFT surrogates
and those for t∗ = 0.10 are similar, there is a significant
difference between the IAAFT and PWIAAFT surrogates for
AR2p, with the IAAFT surrogates showing a clear tendency to
lie further from the data. Testing based on rank ordering for
AR2p IAAFT surrogates gave a significant difference at the 5%
level for one realisation from 50 of the AR2p process at ψ = 4.
However, there were a total of 9 rejections at the 10% level for
(7)
where K > 0 and Px(i) (x) is a polynomial with a degree less
than α [8]. Fig. 13 gives α p (xi ) based on a moving window
with a width of 32 values for the data and surrogates in Fig. 12
using the method of [5]. The reduction in the variance for the
second half of the IAAFT surrogates in Fig. 12 has an impact
on the values for α p (xi ), which are smoother than average in
the second half of Fig. 13(b) and more intermittent in the first
half. If one is attempting to use a surrogate-based algorithm
for generating ensembles of a process that meet particular
criteria, which includes the stationarity of the pointwise Hölder
exponents, then the PWIAAFT method may be preferable to the
IAAFT approach.
In order to complement the results above based on values
for A, we also undertook statistical tests for the difference in
the maximal Lyapunov exponent λ. In this case we compared
the Rch and Rcy signals defined in Table 1. Our method for
calculating λ followed [14] and reconstructed the trajectory
based on the method of delays [21]. We form M = n −
226 C.J. Keylock / Physica D 225 (2007) 219–228
Fig. 13. Estimates of the pointwise Hölder exponents α p (xi ) for the Rcy signal
(a), the IAAFT surrogate (b) and the PWIAAFT surrogate (c) given in Fig. 12.
(d∗ − 1) L vectors Xi each containing the values


Xi = xi xi+L · · · xi+(d∗ −1)L
where n is the number of values in the time series, d∗ is the
embedding dimension (considered to be a variable), and L is the
lag (taken here to be the time where the autocorrelation function
drops to 1 − 1/e, [14]). For each point in the embedding space
Xi given by (8) we determined its nearest neighbour with the
additional constraint that the points were separated in time by
an amount greater than the mean period of the time series TTH
(the Theiler correction) which was determined from the Fourier
transform of the series by
Z Z
TTH = E ( f)d f f E ( f)d f (9)
where f is frequency and E( f ) is the spectral energy. For
a particular target position in the embedding space Xi the
distance to the nearest neighbour is
Di (0) = min kXk − Xi k
where kk is the Euclidean norm and k 6= i. The maximal
Lyapunov exponent λ was then be found by tracking the
increase in Di with time as these two neighbouring positions
followed their trajectories in the embedding space. Averaging
the natural logarithm of these distances over all possible k
nearest neighbours was then used to estimate λ from a straight
line fit of hln Dk (t)i against t. The unknown in this approach is
d∗ and Rosenstein et al. note that d∗ must exceed the topological
dimension of the system (i.e. 3 here) to detect chaos because
otherwise the chaotic system will be embedded in a space that
is too small to permit the true dynamics to be determined and
it will appear stochastic. In this study we report results using
a choice of d∗ = 10. Because we expect a higher value for
λ for chaotic systems, we used a one-tailed test and generate
19 surrogates for a significance level of 5%. Fig. 14 shows our
results for IAAFT and PWIAAFT (t∗ = 0.10) surrogates in
terms of plots of hln Dk (t)i against t. Clearly, the choice of
t∗ = 0.10 is sufficient to produce surrogates that have lost their
chaotic structure, enabling hypothesis testing to be undertaken
successfully.
5. Power of the surrogates with respect to period
modulation
The AR2p signal is actually the same as that used by [25]
for testing the power of surrogate-based tests with respect to
nonstationarity. Following [25], the parameters a1 and a2 of an
AR2 process
x (t) = a1 xt−1 + a2 xt−2 + a3 ε (11)
can be interpreted in terms of a damped oscillator, with period
T and relaxation time τ :
a1 = 2 cos [2π/T ] exp(−1/τ ) (12)
a2 = − exp(−2/τ ). (13)
The parameter sets given in Table 1 (a1 = 0.8, a2 = −0.25,
a3 = 1.0) and (a1 = 1.586, a2 = −0.961, a3 = 1.0)
lead to values of (T = 9.018, τ = 1.443) and (T = 10,
τ = 50), respectively. In the former case the relaxation time
(8)
is much shorter than the period, resulting in a broad spectrum
with no dominant periodicity, while in the latter case, a much
stronger periodicity can be observed (Fig. 10), corresponding to
T . Period-based modulation was undertaken by subjecting the
mean period T of the AR2p signal to a sinusoidal fluctuation of
the form:
T (t) = T + MT sin(t2π/Tmod ) (14)
where Tmod was given a value of 250 and MT was varied from 0
to 4.5 in units of 1.5. Eq. (14) introduces a temporal dependency
in a1 :
a1 (t) = 2 cos[2π/T (t)] exp(−1/τ ). (15)
However, (14) also introduces a time dependency to the
variance, which was compensated for using:
a32
a3 (t)2 =
(10) 1 − a12 − a22 − 2a12 a2 / (1 − a2 )
!
2a1 (t)2 a2
× 1 − a1 (t) 2
− a22 − . (16)
1 − a2
We generated 39 surrogates using the IAAFT and PWIAAFT
algorithms and compared the output in terms of A(ψ =
1, . . . , 15). Fig. 15 shows example time series for different
choices of MT , while Fig. 16 indicates the resulting z scores
with ±2 standard deviation limits obtained from twenty-five
realisations of the test. The critical value of |z| = 1.96 is also
shown as a dotted line. Because the wavelet-based surrogates
preserve the time–frequency structure of the surrogates to a
certain degree and do not themselves introduce nonstationarity,
they appear more robust for testing the null hypothesis that
a signal is a linear, Gaussian stochastic process when period
modulation might potentially affect the test. One situation
where such an effect may be present in a given dataset is in
the analysis of palaeoclimatic time-series [13].
 C.J. Keylock / Physica D 225 (2007) 219–228
Fig. 14. Graphs of hln Dk (t)i against t for d∗ = 10. The signals Rch (a), (c) and Rcy (b), (d) are analysed using 19 IAAFT (c), (d) and PWIAAFT (t∗ = 0.10) (a),
(b) surrogates.
Fig. 15. Example time series obtained by period modulation of AR2p for
varying values of MT .
6. Conclusion
A method for generating surrogate data in the wavelet
domain has been presented. This applied the Iterated
Amplitude Adjusted Fourier Transform algorithm to the
wavelet detail coefficients at each scale to avoid problems
associated with block or coefficient-based randomisation
methods that introduce variability at a frequency greater
than the support of the wavelet. The new method, which
we term the Pinned Wavelet Iterated Amplitude Adjusted
Fourier Transform Method (PWIAAFT), introduces a threshold
that fixes particular coefficients in place, while randomizing
the remainder to provide some temporal localization of the
227
Fig. 16. Mean values and ±2 standard deviation error bars for the z scores
from the time asymmetry test A(ψ = 1, . . . , 15) for the AR2p times series
with varying degrees of period modulation (Fig. 15). Results using the IAAFT
method are in black and PWIAAFT surrogates are in grey.
surrogates. We present evidence that suggests that tests of the
null hypothesis that data are generated by a Gaussian stochastic
process can be accomplished successfully using tests based on
time asymmetry and the calculation of the maximal Lyapunov
exponent. In particular, we note that this method appears to be
more robust to period modulation of a Gaussian process than
the standard IAAFT approach and does not introduce artefacts
to pseudoperiodic data that may potentially invalidate the use
of the IAAFT algorithm for testing particular hypotheses.
228 C.J. Keylock / Physica D 225 (2007) 219–228
Acknowledgements
The author kindly acknowledges support from EU 5th
framework project SATSIE (contract number: EVG1-CT2002-
00059) and the comments of the two anonymous referees.
References
[1] C. Angelini, D. Cava, G. Katul, B. Vidakovic, Resampling hierarchical
processes in the wavelet domain: A case study using atmospheric
turbulence, Physica D 207 (2005) 27–40.
[2] M. Breakspear, M. Brammer, P.A. Robinson, Construction of multivariate
surrogate sets from nonlinear data using the wavelet transform, Physica D
182 (2003) 1–22.
[3] M. Breakspear, M.J. Brammer, E.T. Bullmore, P. Das, L.M. Williams,
Spatiotemporal wavelet resampling for functional neuroimaging data,
Hum. Brain Mapp. 23 (2004) 1–25.
[4] E. Bullmore, C. Long, J. Suckling, J. Fadili, G. Calvert, F. Zelaya, T.A.
Carpenter, M. Brammer, Colored noise and computational inference in
neurophysiological (fMRI) time series analysis: Resampling methods in
time and wavelet domains, Hum. Brain Mapp. 12 (2001) 61–78.
[5] K.M. Kolwankar, J. Lévy Véhel, A time domain characterization of the
fine local regularity of functions, J. Fourier Anal. Appl. 8 (2002) 320–334.
[6] C.J. Keylock, Constrained surrogate time series with preservation of the
mean and variance structure, Phys. Rev. E 73 (2006) 036707.
[7] K. Lehnertz, R.G. Andrzejak, J. Arnhold, T. Kreuz, F. Mormann, C. Rieke,
G. Widman, C.E. Elger, Nonlinear EEG analysis in epilepsy: Its possible
use for interictal focus localization, seizure anticipation, and prevention,
J. Clin. Neurophysiol. 18 (2001) 209–222.
[8] S. Mallat, A Wavelet Tour of Signal Processing, Academic Press, 1999.
[9] R.S. Patel, D. Van De Ville, F.D. Bowman, Determining significant
connectivity by 4D spatiotemporal wavelet packet resampling of
functional neuroimaging data, NeuroImage 31 (2006) 1142–1155.
[10] D.B. Percival, A.T. Walden, Wavelet Methods for Times Series Analysis,
Cambridge University Press, 2000.
[11] D. Poggi, A. Porporato, L. Ridolfi, J.D. Albertson, G.G. Katul, Interaction
between large and small scales in the canopy sublayer, Geophys. Res. Lett.
31 (2004) L05102, doi:10.1029/2003GL018611.
[12] C.P. Price, D. Prichard, The nonlinear response of the magnetosphere —
30 October 1978, Geophys. Res. Lett. 20 (1993) 771–774.
[13] J.A. Rial, Pacemaking the ice ages by frequency modulation of earth’s
orbital eccentricity, Science 285 (1999) 564–568.
[14] M.T. Rosenstein, J.J. Collins, C.J. De Luca, A practical method for
calculating largest Lyapunov exponents from small data sets, Physica D
65 (1993) 117–134.
[15] O.E. Rössler, An equation for continuous chaos, Phys. Lett. A 35 (1976)
397–398.
[16] T. Schreiber, A. Schmitz, Improved surrogate data for nonlinearity tests,
Phys. Rev. Lett. 77 (1996) 635–638.
[17] T. Schreiber, A. Schmitz, Discrimination power of measures for
nonlinearity in a time series, Phys. Rev. E 55 (1997) 5443–5447.
[18] M. Small, K. Judd, Correlation dimension: A pivotal statistic for
non-constrained realizations of composite hypotheses in surrogate data
analysis, Physica D 120 (1998) 386–400.
[19] M. Small, C.K. Tse, Applying the method of surrogate data to cyclic time
series, Physica D 164 (2002) 187–201.
[20] M. Small, D. Yu, R.G. Harrison, Surrogate test for pseudoperiodic time
series data, Phys. Rev. Lett. 87 (2001) 188101.
[21] F. Takens, Detecting strange attractors in turbulence, Lect. Notes Math.
898 (1981) 366–381.
[22] J. Theiler, S. Eubank, A. Longtin, B. Galdrikian, J.D. Farmer, Testing for
nonlinearity in time-series — the method of surrogate data, Physica D 58
(1992) 77–94.
[23] J. Theiler, D. Prichard, Constrained-realization Monte-Carlo method for
hypothesis testing, Physica D 94 (1996) 221–235.
[24] J. Theiler, P.E. Rapp, Re-examination of the evidence for low-
dimensional, nonlinear structure in the human brain electroencephalo-
gram, Electroencephalogr. Clin. Neurophysiol. 98 (1996) 213–222.
[25] J. Timmer, Power of surrogate data testing with respect to nonstationarity,
Phys. Rev. E 58 (1998) 5153–5156.
[26] R.A.M. Van der Linden and the SIDC team, Online catalogue of the
sunspot index. http://www.sidc.be/sunspot-data/.