recurrence threshold

Everything about quantification of recurrence plots and recurrence networks.
Post Reply
ajay singh
Junior
Posts: 1
Joined: Sat Feb 27, 2021 10:30
Affiliation (Univ., Inst., Dept.): IIT Ropar
Location: Ropar, Punjab, India
Research field: Engine combustion

recurrence threshold

Post by ajay singh »

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?
User avatar
Norbert
Expert
Posts: 178
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

Post by Norbert »

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?
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.

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.
Post Reply