Digitální knihovnaUPCE
 

Recurrence Quantification Analysis of Czech Macroeconomic Time Series

Konferenční objektpeer-reviewedpostprint
Náhled

Datum publikování

2016

Vedoucí práce

Oponent

Název časopisu

Název svazku

Vydavatel

STEF92 Technology Ltd.

Abstrakt

The goal of this paper is to analyze a set of Czech macroeconomic time series with the use of Recurrence Quantification Analysis (RQA). We chose RQA because it is suitable for economic time series that are characterized by noise and short data sets. Through RQA we can obtain useful information on the quality and complexity of the hidden structure of the dynamics in an economy. Recurrence is a fundamental property of dynamical systems. At first we estimated the time delay and the embedding dimension, which is needed for the Lyapunov exponent estimation, the phase space reconstruction and for RQA. Finally we used RQA itself. We used recurrence plots (RP) as a powerful tool for visualization and analysis. Generally RP is an advanced technique of nonlinear data analysis. RP is a graphical method designed to locate hidden recurring patterns, nonstationarity and structural changes. We apply RQA in order to provide a classification based on topological aspects of their dynamics. Our considerations on the basis of these analyzes confirm that it could be chaotic behavior in certain macroeconomic time series.

Rozsah stran

p. 507-514

ISSN

2367-5659

Trvalý odkaz na tento záznam

Projekt

SGS_2016_023/Ekonomický a sociální rozvoj v soukromém a veřejném sektoru

Zdrojový dokument

SGEM 2016 : Political Sciences, Law, Finance, Economics and Tourism Conference Proceedings. Book 2, vol. 5

Vydavatelská verze

Přístup k e-verzi

Pouze v rámci univerzity

Název akce

3rd International Multidisciplinary Scientific Conference on Social Sciences and Arts SGEM 2016 (22.08.2016 - 31.08.2016)

ISBN

978-619-7105-76-6

Studijní obor

Studijní program

Signatura tištěné verze

Umístění tištěné verze

Přístup k tištěné verzi

Klíčová slova

Recurrence Quantification Analysis, Chaos theory, Macroeconomic, Recurrence Plots, Time Series Analysis, Rekurentní analýza, teorie chaosu, makroekonomie, rekurentní diagram, analýza časových řad

Endorsement

Review

item.page.supplemented

item.page.referenced