Detecting Determinism Using Recurrence Quantification Analysis: Three Test Procedures

M� Teresa Aparicio, Eduardo F. Pozo and Dulce Saura
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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.

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: https://EconPapers.repec.org/RePEc:zar:wpaper:dt2005-03

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