Author:
Zhu Hanhuai,Huang Jingjing
Abstract
Identification of embedding dimension is helpful to the reconstruction of phase space. However, it is difficult to calculate the proper embedding dimension for the financial time series of dynamics. By this Letter, we suggest a new method based on Manhattan distance and recurrence quantification analysis for determining the embedding dimension. By the advantages of the above two tools, the new method can calculate the proper embedding dimension with the feature of stability, accuracy and rigor. Besides, it also has a good performance on the chaotic time series which has a high-dimensional attractors.
Funder
National Natural Science Foundation of China
Graduate course construction project of Beijing University of information technology -- Research on the role of guiding learning and politics in improving the quality of graduate training
Subject
General Physics and Astronomy
Cited by
1 articles.
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