An adaptive method for threshold of recurrence quantification analysis based on SAX

DOI10.1016/J.CNSNS.2019.105061MaRDI QIDQ2207757zbMATH OpenOpenAlexWikidataFDO

Authors Shijian Chen, Pengjian Shang

Publication date 23 October 2020

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2019.105061

zbMATH Keywords

cumulative histogram methodfinancial time seriesrecurrence quantification analysissymbolic aggregate approximation (SAX)

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites work

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• A theory for multiresolution signal decomposition: the wavelet representation
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• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
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• Multifractal analysis of dimensions and entropies
• Multiscale behavior and fractional kinetics from the data of solar wind-magnetosphere coupling
• Multiscale transfer entropy: measuring information transfer on multiple time scales
• Recurrence quantification based Liapunov exponents for monitoring divergence in experimental data
• Recurrence quantity analysis based on matrix eigenvalues
• Recurrence quantity analysis based on singular value decomposition
• Weighted multifractal cross-correlation analysis based on Shannon entropy

Cited in

(2)

• On a topological criterion to select a recurrence threshold
• RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME.

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Uses Software

• EMD

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