Further Research on the Predictability of Time Series Based on Recurrence Plot
Xiang Heng Xiao · Industrial Engineering and Engineering Management · 2003
Theory and example show that whether recurrence plo t correctly describes the practical predictability of time series is decided by embedding parameters when people construct recurrence plot to characterize predi ctability of time series based on reconstruction of system phase space. This pa per put forwards a method to make choice of the best embedding dimension and tim e lag at the same time based on idea of false nearest neighbor, which offers rel iable guarantee of correct and fleet decision about the predictability of time s eries.