Visualization of coupling in time series by order recurrence plots
نویسندگان
چکیده
منابع مشابه
Visualization of coupling in time series by order recurrence plots.
We introduce a method to visualize dependencies between two time series by applying the concept of cross recurrence plots to the local ordinal structure. We derive a measure of the coupling strength which is robust against observational noise, nonlinear distortion of the amplitude, and low-frequency trends. Connections to the instantaneous phase and the determination of phase coupling of two co...
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Several economical time series such as exchange rates US$/British Pound, USA Treasure Bonds rates and Warsaw Stock Index WIG have been investigated using the method of recurrence plots. The percentage of recurrence REC and the percentage of determinism DET have been calculated for the original and for shuffled data. We have found that in some cases the values of REC and DET parameters are about...
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Recovering smooth dynamics from time series with the aid of recurrence plots.
A graphical method based on recurrence plots is used in the reconstruction of the phase space from a time series of measurements. It is demonstrated that if the embedding delay and dimension are correctly chosen, the recurrence plot of a smooth dynamical system has a particularly simple form. It is shown how to use recurrence plots to determine the correct embedding parameters so that reliable ...
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ژورنال
عنوان ژورنال: Physical Review E
سال: 2005
ISSN: 1539-3755,1550-2376
DOI: 10.1103/physreve.72.046220