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Detecting Determinism Using Recurrence Quantification Analysis: Three Test Procedures

Author

Listed:
  • M� Teresa Aparicio

    (Departamento de An�lisis Econ�mico. Facultad de Ciencias Econ�micas y Empresariales. Universidad Zaragoza.)

  • Eduardo F. Pozo

    (Departamento de An�lisis Econ�mico. Facultad de Ciencias Econ�micas y Empresariales. Universidad Zaragoza.)

  • Dulce Saura

    (Departamento de An�lisis Econ�mico. Facultad de Ciencias Econ�micas y Empresariales. Universidad Zaragoza.)

Abstract

In this paper we use the �Recurrence Quantification Analysis� proposed by Zbilut and Webber (1992), to develop three test procedures that allow us to detect determinism underlying series. Based on the concept of �Percent of Determinism� we obtain three statistics that allow us to test for the null hypothesis of randomness. The results of the application of these procedures to a set of simulated and real series reveal good behaviour in a wide variety of situations, including different sample sizes and series affected by noise.

Suggested Citation

  • M� Teresa Aparicio & Eduardo F. Pozo & Dulce Saura, 2005. "Detecting Determinism Using Recurrence Quantification Analysis: Three Test Procedures," Documentos de Trabajo dt2005-03, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    • Handle: RePEc:zar:wpaper:dt2005-03
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