I have a question on generating multivariate time series surrogates using the "surrogates" function in the RTisean library. The surrogate data matrices are always much shorter than the input matrices.
FYI, I'm using R version 2.12.2 on Windows XP RTisean library v 3.0.14 Tisean algorithms v 3.0.13 Creating a surrogate univariate time series returns a time series with the length of the original vector. > V1=as.numeric(na.omit(filter(rnorm(103), filter=c(0.25, 0.5, 0.5, 0.25), > sides=2))) > S=surrogates(series=V1); nrow(S) [1] 100 However, multivariate surrogates are always shorter than the input matrices. > V1=as.numeric(na.omit(filter(rnorm(103), filter=c(0.5, 0.5), sides=2))) > V2=as.numeric(na.omit(filter(rnorm(103), filter=c(0.5, 0.5), sides=2))) > V=cbind(V1, V2) > S=surrogates(series=V, m=2, c=1:2); dim(S) [1] 16 2 One can cheat a little and repeat the datasets, returning a longer output: > V1=as.numeric(na.omit(filter(rnorm(103), filter=c(0.5, 0.5), sides=2))) > V2=as.numeric(na.omit(filter(rnorm(103), filter=c(0.5, 0.5), sides=2))) > V=cbind(V1, V2, V1, V2) > S=surrogates(series=V, m=4, c=1:4); dim(S) [1] 25 4 but the limit appears to be ~50% of the length of the input matrix. There probably is a legitimate reason behind this but I can't find mention of this either in the RTisean documentation or the TISEAN website. Similarly, examples in the literature from the authors (Schreiber and Schmitz. 2000. Surrotate time series. Physica D 142.346-382) do not appear to suffer from this truncation. Varying the arguments for the "surrogates" function do not fix the truncation and some of the arguments don't seem to be functional: ---- surrogates {RTisean} R Documentation surrogates(series, n = 1, i, S = FALSE, I, l, x = 0, m, c) Arguments: series a vector or a matrix. n number of surrogates. i number of iterations. S make spectrum exact rather than distribution. I seed for random numbers. (capital i) l number of points. (lowercase L) x number of values to be skipped. m number of columns to be read. c columns to be read. --- In particular, varying n changes the processing time but does not change the function output, making me think that this is an issue with the way the R function links to the TISEAN executables. Suggestions from anyone familiar with this are greatly appreciated. Thanks, Burton Shank ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.