Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding
AbstractIn this paper, we develop a modified version of the procedure proposed in Aparicio et al. (2008). There, we presented three tests in order to verify the existence of general dependence in time series, within the framework of the Recurrence Quantification Analysis (RQA). Initially, this procedure could be applied both to the original series, and the series transformed by means of the Time Delay Method. However, in the latter case (i.e. if the Time Delay Method is used) recent evidence has shown that spurious structures appear, strongly distorting the results of the indicators of the RQA and, consequently, the conclusions of our tests. Here, we propose a modification of the procedure, which solves this problem, and we apply it successfully to a wide variety of series, simulated and real.
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Bibliographic InfoArticle provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.
Volume (Year): 15 (2010)
Issue (Month): 1 (December)
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Web page: http://www.degruyter.com
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