Descripción
The Recurrence Analysis is a statistical technique, initially proposed by Eckmann et al. (1987) and Zbilut and Webber (1992), used to analyze dynamic systems and time series. This technique is based on the identification and study of repetitive patterns (recurrences) within a time series, which can provide information about the underlying structure of the system or the process that generated the data. In this paper we will use the crqa (Cross Recurrence Quantification Analysis) library, which allows us to perform both recurrence plots and recurrence quantification analysis. Some essential concepts to understand this technique such as phase space reconstruction, embedding dimension or reconstruction lag will be introduced beforehand. We will show some examples of application of recurrence analysis with time series whose generating process is well known in order to later apply it to the analysis of different observed economic time series in order to detect patterns of dynamic behavior that allow us to complete (not replace) the traditional analysis of correlation or time dependence of these time series.
| Afiliación (del autor) | Facultad de Ciencia Económicas y Empresariales. Grupo de Investigación AEDIPI, U |
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