Abstract:The Markov order is a crucial measure of the memory of a process and its information is essential for appropriate simulation of aspects of the process. In this paper we suggest a robust and straightforward exact significance test based on generating surrogate data to assess the Markov order of a time series. This method is valid for any sample size and certifies a uniform sampling from the set of sequences that definitely have the nth order characteristics of the observed data. The Markov property and order of… Show more
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