Dear all,
For a noisy time series, it is mentioned in the literature that the threshold should be around 5*sigma. I wanted to ask if this sigma is the standard deviation of the time series?
recurrence threshold
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ajay singh
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- Joined: Sat Feb 27, 2021 10:30
- Affiliation (Univ., Inst., Dept.): IIT Ropar
- Location: Ropar, Punjab, India
- Research field: Engine combustion
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Norbert
- Expert
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- Joined: Wed Jan 4, 2006 11:03
- Affiliation (Univ., Inst., Dept.): Potsdam Institute for Climate Impact Research, Germany
- Location: Potsdam, Germany
- Location: Potsdam Institute for Climate Impact Research, Germany
Re: recurrence threshold
No, it is the standard deviation of the observation noise. This threshold value (5σ) is actually much too high. The study which you refer to is more a theoretical consideration. This choice for the threshold means that the structures in the RP will be preserved. But it will also include additional structures that are related to noise. These new noise-related structures will strongly bias the final results.ajay singh wrote: ↑Tue Mar 2, 2021 14:07 Dear all,
For a noisy time series, it is mentioned in the literature that the threshold should be around 5*sigma. I wanted to ask if this sigma is the standard deviation of the time series?
Optimal theshold selection depends on the research question. This was summarized in several papers, e.g., in http://dx.doi.org/10.1016/j.physrep.2006.11.001 or http://dx.doi.org/10.1142/S0218127411029008.