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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. Copyright 2003 Blackwell Publishing Ltd.

Suggested Citation

  • 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
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    Cited by:

    1. Evzen Kocenda & Lubos Briatka, 2004. "Advancing the iid Test Based on Integration across the Correlation Integral: Ranges, Competition, and Power," CERGE-EI Working Papers wp235, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    2. 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.

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