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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-09-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/24/9/1298 |