Recurrence plot statistics and the effect of embedding
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Publication:707184
Abstract: Recurrence plots provide a graphical representation of the recurrent patterns in a timeseries, the quantification of which is a relatively new field. Here we derive analytical expressions which relate the values of key statistics, notably determinism and entropy of line length distribution, to the correlation sum as a function of embedding dimension. These expressions are obtained by deriving the transformation which generates an embedded recurrence plot from an unembedded plot. A single unembedded recurrence plot thus provides the statistics of all possible embedded recurrence plots. If the correlation sum scales exponentially with embedding dimension, we show that these statistics are determined entirely by the exponent of the exponential. This explains the results of Iwanski and Bradley (Chaos 8 [1998] 861-871) who found that certain recurrence plot statistics are apparently invariant to embedding dimension for certain low-dimensional systems. We also examine the relationship between the mutual information content of two timeseries and the common recurrent structure seen in their recurrence plots. This allows time-localized contributions to mutual information to be visualized. This technique is demonstrated using geomagnetic index data; we show that the AU and AL geomagnetic indices share half their information, and find the timescale on which mutual features appear.
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Cited in
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- Border effect corrections for diagonal line based recurrence quantification analysis measures
- Methodology proposal of EMG hand movement classification based on cross recurrence plots
- Multivariate recurrence plots
- How much information is contained in a recurrence plot?
- Spurious structures in recurrence plots induced by embedding
- Line structures in recurrence plots
- Statistical tests for serial dependence and laminarity on recurrence plots
- Faithfulness of Recurrence Plots: A Mathematical Proof
- RECURRENCE QUANTIFICATIONS: FEATURE EXTRACTIONS FROM RECURRENCE PLOTS
- Coarse-graining time series data: Recurrence plot of recurrence plots and its application for music
- Recurrence and symmetry of time series: application to transition detection
- Application of symbolic recurrence to experimental data, from firearm prevalence to fish swimming
- Transfer entropy on symbolic recurrences
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- Statistical inference for microstate distribution in recurrence plots
- Chaos control in the cerium-catalyzed Belousov-Zhabotinsky reaction using recurrence quantification analysis measures
- Distinguishing the noise and attractor strength of coordinated limb movements using recurrence analysis
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