A New Method for Determining the Embedding Dimension of Financial Time Series Based on Manhattan Distance and Recurrence Quantification Analysis

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 ana...

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Principais autores:	Hanhuai Zhu, Jingjing Huang
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2022-09-01
Colecção:	Entropy
Assuntos:	embedding dimension Manhattan distance recurrence plot recurrence quantification analysis
Acesso em linha:	https://www.mdpi.com/1099-4300/24/9/1298
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