2008
DOI: 10.1016/j.jebo.2006.03.005
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Detecting determinism using recurrence quantification analysis: Three test procedures

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][200][201][202][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 hypothes… Show more

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Cited by 34 publications
(34 citation statements)
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“…S2). Additional tests for determinism have been defined by Aparicio (37). Applying these, we found significant evidence for determinism in all Nod factor-treated and mycorrhizal-treated cells analyzed (Table 1).…”
Section: Rhizobial Bacteria and Mycorrhizal Fungi Induce Differentialmentioning
confidence: 67%
See 2 more Smart Citations
“…S2). Additional tests for determinism have been defined by Aparicio (37). Applying these, we found significant evidence for determinism in all Nod factor-treated and mycorrhizal-treated cells analyzed (Table 1).…”
Section: Rhizobial Bacteria and Mycorrhizal Fungi Induce Differentialmentioning
confidence: 67%
“…Three tests for determinism (37) were run on 1 dimensional recurrence plots of the time series. A recurrence was identified at 0.5 times the standard deviation, or in cases where this produced more recurrences than nonrecurrence, the tolerance was set to 0.1 times the standard deviation.…”
Section: Methodsmentioning
confidence: 99%
See 1 more Smart Citation
“…In Figure 6, more of the recurrence points are observed in the main diagonal lines for these time series, while the recurrence structure consisting of roughly vertical (horizontal) patterns can be found in the plots of Figure 7. Since the graphical representation may be difficult to evaluate, recurrence quantification analysis (RQA) [41,42,49] was developed to provide numerical measures that allow for the quantification of the structure and complexity of RPs. These quantities are based on recurrence points densities, diagonal and vertical line structure.…”
Section: Recurrence Plot and Recurrence Quantification Analysismentioning
confidence: 99%
“…Furthermore, nonlinear determinism can potentially explain large movements in financial data that linear stochastic models cannot account for [38]. Thus, we here apply the recurrence plots (which provide visual insight into the complex nonlinear deterministic patterns in time series data [39,40]) and the recurrence quantification analysis (RQA) method (that is able to quantify structure in the recurrence plots through different recurrence measures [41,42]) to the nonlinear analysis of the real market data and the simulated data derived from the financial price model.…”
Section: Introductionmentioning
confidence: 99%