Detecting determinism using recurrence quantification analysis: Three test procedures

Teresa Aparicio, Eduardo F. Pozo and Dulce Saura

Journal of Economic Behavior & Organization, 2008, vol. 65, issue 3-4, 768-787

Abstract: In this paper we use the "Recurrence Quantification Analysis" proposed by Zbilut and Webber [Zbilut, J.P., Webber Jr., C.L., 1992. Embeddings and delays as derived from quantification of recurrence plots. Physics Letters A 171, 199-203] to develop three test procedures that allow us to detect general dependence and, from that, possible deterministic behavior 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 behavior in a wide variety of situations, including different sample sizes and series affected by noise.

Date: 2008
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