Search results for "Nonlinear time series analysis"

showing 3 items of 3 documents

FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME-SERIES ANALYSIS

2009

We analyze the fiscal adjustment process in the United States using a multivariate threshold vector error regression model. The shift from single-equation to multivariate setting adds value both in terms of our economic understanding of the fiscal adjustment process and the forecasting performance of nonlinear models. We find evidence that fiscal authorities intervene to reduce real per capita deficit only when it reaches a certain threshold and that fiscal adjustment takes place primarily by cutting government expenditure. The results of out-of-sample density forecast and probability forecasts suggest that a shift from a univariate autoregressive model to a multivariate model improves fore…

MacroeconomicsEconomics and EconometricsMultivariate statisticsUnivariateRegression analysisGeneral Business Management and AccountingNonlinear time series analysisAutoregressive modelnon line time series; forecasting; government solvencyValue (economics)Per capitaEconomicsEconometricsFiscal adjustmentThreshold Cointegration Forecasting Deficit Sustainability
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Entropy and Renormalization in Chaotic Visibility Graphs

2016

PhysicsCombinatoricsRenormalizationNonlinear time series analysisGraph entropy0103 physical sciencesChaoticEntropy (information theory)Statistical physics010306 general physics01 natural sciences010305 fluids & plasmas
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Recurrence Plots in Nonlinear Time Series Analysis: Free Software

2002

Recurrence plots are graphical devices specially suited to detect hidden dynamical patterns and nonlinearities in data. However, there are few programs available to apply such a mehodology. This paper reviews one of the best free programs to apply nonlinear time series analysis: Visual Recurrence Analysis (VRA). This program is targeted to recurrence analysis and the so-called Recurrence Quantitative Analysis (RQA, the quantitative counterpart of recurrence plots), although it includes many procedures in a friendly visual environment. Comparisons with alternative programs are performed.

Statistics and ProbabilityComputer sciencebusiness.industrycomputer.software_genreNonlinear time series analysisSoftwareQuantitative analysis (finance)StatisticsData miningStatistics Probability and Uncertaintybusinesslcsh:Statisticslcsh:HA1-4737computerSoftwareJournal of Statistical Software
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