Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding
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Teresa Aparicio
In 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.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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- Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding
- Replication
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Articles in the same Issue
- Article
- Spurious Regressions of Stationary AR(p) Processes with Structural Breaks
- Unemployment and Hysteresis: A Nonlinear Unobserved Components Approach
- Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency
- The Determinants of International Financial Integration Revisited: The Role of Networks and Geographic Neutrality
- Algorithm
- Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding
- Replication
- Testing the Martingale Property of Exchange Rates: A Replication
