Determining delay times for phase space reconstruction with application to the FF/DM exchange rate
نویسنده
چکیده
Economists have widely applied the correlation integral of Grassberger and Procaccia (1983) to determine the dimension of a nonlinear dynamical system. A key judgmental input into this procedure is the choice of delay time for reconstructing a possible attractor. The literature, however, lacks a rigorous procedure for choosing the delay time. In this paper, I apply a simple nonparametric test for independence developed in Mizrach (1995a) to determine the appropriate lag for reconstruction and dimension estimation. In an application to the Lorenz equations, I obtain the best estimates of the correlation dimension at the lag chosen by the test. I then use the method to uncover nonlinear structure in the FF/DM exchange rate. JEL classification: C22; F3 1
منابع مشابه
Efficient Delay Characterization Method to Obtain the Output Waveform of Logic Gates Considering Glitches
Accurate delay calculation of circuit gates is very important in timing analysis of digital circuits. Waveform shapes on the input ports of logic gates should be considered, in the characterization phase of delay calculation, to obtain accurate gate delay values. Glitches and their temporal effect on circuit gate delays should be taken into account for this purpose. However, the explosive numbe...
متن کاملChaotic Analysis and Prediction of River Flows
Analyses and investigations on river flow behavior are major issues in design, operation and studies related to water engineering. Thus, recently the application of chaos theory and new techniques, such as chaos theory, has been considered in hydrology and water resources due to relevant innovations and ability. This paper compares the performance of chaos theory with Anfis model and discusses ...
متن کاملFast Reconstruction of SAR Images with Phase Error Using Sparse Representation
In the past years, a number of algorithms have been introduced for synthesis aperture radar (SAR) imaging. However, they all suffer from the same problem: The data size to process is considerably large. In recent years, compressive sensing and sparse representation of the signal in SAR has gained a significant research interest. This method offers the advantage of reducing the sampling rate, bu...
متن کاملSign Effect, Speedup – Delay Asymmetry and Gender Effect In the Tehran Stock Exchange
The present study first investigates the asymmetry of speedup - delay (gain and loss) and Sign Effect in Tehran Stock Exchange, then examine the effect of gender on the discount rate and explain it with the loss aversion. The sample is 403 investors in Tehran Stock Exchange, and the nonparametric Tests are used to test the research hypotheses. The research results show that there is an asymmetr...
متن کاملApplication of Model-Based Estimation to Time-Delay Estimation of Ultrasonic Testing Signals
Time-Delay-Estimation (TDE) has been a topic of interest in many applications in the past few decades. The emphasis of this work is on the application of model-based estimation (MBE) for TDE of ultrasonic signals used in ultrasonic thickness gaging. Ultrasonic thickness gaging is based on precise measurement of the time difference between successive echoes which reflect back from the back wall ...
متن کامل