A Strategy for the Use of the Cross Recurrence Quantification Analysis

Abstract

Abstract In this work, our goal is to analyze the use of the Cross Recurrence Plot (CRP) and its quantification (CRQA) as tools to detect the possible existence of a relationship between two systems. To do that, we define three tests that are a bivariate extension of those proposed by Aparicio et al. (Aparicio, T., E. Pozo, and D. Saura. 2008. “Detecting Determinism Using Recurrence Quantification Analysis: Three Test Procedures.” Journal of Economic Behavior & Organization 65: 768–787, Aparicio, T., E. F. Pozo, and D. Saura. 2011. “Detecting Determinism Using Recurrence Quantification Analysis: A Solution to the Problem of Embedding.” Studies in Nonlinear Dynamics and Econometrics 15: 1–10) within the context of the Recurrence Quantification Analysis. These tests, based on the diagonal lines of the CRP, are applied to a large number of simulated pairs of series. The results obtained are not always satisfactory, with problems being detected specifically when the series have a high degree of laminarity. We study the identified problems and we implement a strategy that we consider adequate for the use of these tools. Finally, as an example, we apply this strategy to several economic series.