Synchronicity assessment using a non-parametric dynamic dissimilarity measure

Abstract

In this paper, we introduce a non-parametric dynamic dissimilarity measure (DDM) of synchronicity based on recurrence plots, which is particularly suited to use in small samples. The measure attempts to capture the dissimilarity of the topology of the dynamics of time series, based on an epoch analysis of the cumulative sums of data series. The measure is applied to US State macroeconomic data and is used to assess how synchronous US State business cycle variables are with US aggregates.