An algorithm for simplified recurrence analysis
Rémi Delage1, Toshihiko Nakata1
1Department of Management Science and Technology, Tohoku University, Sendai 980-8579, Japan.
Abstract:
Recurrence analysis applications are hindered by several issues including the selection of critical parameters, noise sensitivity, computational complexity, or the analysis of non-stationary systems. Great progresses have been made by the community to address these issues individually, yet the diversity of resulting techniques with often additional parameters as well as a lack of consensus still impedes its use by nonspecialists. We present a procedure for simplified recurrence analysis based on compact recurrence plots with automatized parameter selection and enhanced noise robustness, and that are suited to the analysis of complex non-stationary systems. This approach aims at supporting the expansion of recurrence analysis for currently challenging or future applications such as for large systems, on-site studies, or using machine learning. The method is demonstrated on both synthetic and real data showing promising results.
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