Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding

Aparicio Teresa, Pozo Eduardo F. and Saura Dulce
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Aparicio Teresa: Universidad de Zaragoza, Spain
Pozo Eduardo F.: Universidad de Zaragoza, Spain
Saura Dulce: Universidad de Zaragoza, Spain

Studies in Nonlinear Dynamics & Econometrics, 2010, vol. 15, issue 1, 12

Abstract: 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.

Date: 2010
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DOI: 10.2202/1558-3708.1719

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