Year: 2012
Type: other
Abstract: We provide a signal modality analysis to characterize and detect nonlinearity schemes in the\nUS Industrial Production Index time series. The analysis is achieved by using the recently proposed\n’delay vector variance’ (DVV) method, which examines local predictability of a signal in\nthe phase space to detect the presence of determinism and nonlinearity in a time series. Optimal\nembedding parameters used in the DVV analysis are obtained via a dierential entropy based\nmethod using wavelet-based surrogates. A complex Morlet wavelet is employed to detect and\ncharacterize the US business cycle. A comprehensive analysis of the feasibility of this approach\nis provided. Our results coincide with the business cycles peaks and troughs dates published by\nthe National Bureau of Economic Research (NBER).
Source: HAL
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2110627079