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Local Lyapunov Exponents: A new way to predict chaotic systems

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Author Info

  • Dominique Guegan

    ()
    (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Paris I - Panthéon-Sorbonne, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris)

  • Justin Leroux

    (HEC Montréal - HEC MONTRÉAL)

Abstract

We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov ex- ponent of a system. We show how our methodology can improve forecast- ing within the attractor and illustrate our results on the Lorenz system.

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Bibliographic Info

Paper provided by HAL in its series Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) with number halshs-00511996.

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Date of creation: Jun 2009
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Publication status: Published, Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing (Ed.), 2009, 158-185
Handle: RePEc:hal:cesptp:halshs-00511996

Note: View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00511996
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Related research

Keywords: Lyapunov exponent - Chaos - Forecasting;

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  1. Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems : the role of local Lyapunov exponents," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne b08014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2008.
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Cited by:
  1. Dominique Guegan, 2007. "Chaos in economics and finance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00187885, HAL.

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