کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
884477 | 1471689 | 2008 | 20 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Detecting determinism using recurrence quantification analysis: Three test procedures
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 65, Issues 3–4, March 2008, Pages 768–787
Journal: Journal of Economic Behavior & Organization - Volume 65, Issues 3–4, March 2008, Pages 768–787
نویسندگان
Teresa Aparicio, Eduardo F. Pozo, Dulce Saura,