Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate
AbstractTo detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal The European Journal of Finance.
Volume (Year): 3 (1997)
Issue (Month): 3 ()
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- Bosq, D. & Guégan, D., 1995. "Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system," Statistics & Probability Letters, Elsevier, vol. 25(3), pages 201-212, November.
- Brock, W.A. & Dechert, W.D., 1988. "Theorems On Distinguishing Deterministic Form Random Systems," Working papers 366, Wisconsin Madison - Social Systems.
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