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Detecting Determinism Using Recurrence Quantification Analysis: Three Test Procedures

Mª Teresa Aparicio, Eduardo F. Pozo and Dulce Saura
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Mª Teresa Aparicio: Departamento de Análisis Económico. Facultad de Ciencias Económicas y Empresariales. Universidad Zaragoza.
Eduardo F. Pozo: Departamento de Análisis Económico. Facultad de Ciencias Económicas y Empresariales. Universidad Zaragoza.
Dulce Saura: Departamento de Análisis Económico. Facultad de Ciencias Económicas y Empresariales. Universidad Zaragoza.

Documentos de Trabajo from Facultad de Ciencias Económicas y Empresariales, Universidad de 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.

Keywords: Recurrence Quantification Analysis; Test for determinism; Nonlinear dynamics (search for similar items in EconPapers)
Date: 2005-03
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Persistent link: http://EconPapers.repec.org/RePEc:zar:wpaper:dt2005-03

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