Recurrence Quantification Analysis of Czech Macroeconomic Time Series

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Recurrence Quantification Analysis of Czech Macroeconomic Time Series

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Recurrence Quantification Analysis of Czech Macroeconomic Time Series

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

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

—

Počet stran výsledku

8

Strana od-do

507-514

Název nakladatele

STEF92 Technology Ltd.

Místo vydání

Sofie

Místo konání akce

Albena

Datum konání akce

22. 8. 2016

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000395727200066