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Distribution of the estimated lyapunov exponents from noisy chaotic time series

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  • Dejian Lai
  • Guanrong Chen

Abstract

. In this paper, we give statistical analyses and simulation studies on the Lyapunov exponents estimated from noisy chaotic time series. Through the Jacobian estimation approach, the asymptotic distribution of the estimated Lyapunov exponents are studied and characterized from the observed noisy chaotic time series. Theoretical results are visualized and verified by numerical simulations.

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  • Dejian Lai & Guanrong Chen, 2003. "Distribution of the estimated lyapunov exponents from noisy chaotic time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 705-720, November.
    • Handle: RePEc:bla:jtsera:v:24:y:2003:i:6:p:705-720
    DOI: 10.1111/j.1467-9892.2003.00330.x
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    Cited by:

    1. Evzen Kocenda & Lubos Briatka, 2005. "Optimal Range for the iid Test Based on Integration Across the Correlation Integral," Econometric Reviews, Taylor & Francis Journals, vol. 24(3), pages 265-296.
    2. Shapour Mohammadi & Ahmad Pouyanfar, 2011. "Behaviour of stock markets' memories," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 183-194.

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