Recurrence Quantification Analysis of Czech Macroeconomic Time Series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216275%3A25410%2F16%3A39902103" target="_blank" >RIV/00216275:25410/16:39902103 - isvavai.cz</a>
Result on the web
<a href="http://sgemsocial.org/ssgemlib/spip.php?article3044" target="_blank" >http://sgemsocial.org/ssgemlib/spip.php?article3044</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.5593/SGEMSOCIAL2016/B25/S07.066" target="_blank" >10.5593/SGEMSOCIAL2016/B25/S07.066</a>
Alternative languages
Result language
angličtina
Original language name
Recurrence Quantification Analysis of Czech Macroeconomic Time Series
Original language description
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.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
—
Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2016
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
SGEM 2016 : Political Sciences, Law, Finance, Economics and Tourism Conference Proceedings. Book 2, vol. 5
ISBN
978-619-7105-76-6
ISSN
2367-5659
e-ISSN
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Number of pages
8
Pages from-to
507-514
Publisher name
STEF92 Technology Ltd.
Place of publication
Sofie
Event location
Albena
Event date
Aug 22, 2016
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000395727200066