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ANNLYAP: MATLAB function to calculate Lyapunov exponents

Author

Listed:
  • Shapour Mohammadi

    (University of Tehran)

Programming Language

MATLAB

Abstract

This M-file calculates Lyapunov exponents with minimum RMSE neural network. After estimation of network weights and finding network with minimum BIC, derivatives are calculated. Sum of logarithm of QR decomposition on Jacobian matrix for observations gives spectrum of Lyapunov Exponents. Using the code is very simple, it needs only an scalar time series, number of lags and number of hidden unites. Higher number of hidden units leads to more precise estimation of Lyapunov exponent, but it is time consuming for less powerful personal computers. Number of lags determines number of embedding dimensions. Therefore, please give number of lags equal to number of embedding dimension. The codes creates networks with various neurons up to user supplied value for neurons and lags up to user specified number lags. Total number of networks are equal to number of neurons times number of lags. this modeling strategy is complex but helps to user select embedding dimension based on minimum BIC.

Suggested Citation

  • Shapour Mohammadi, 2009. "ANNLYAP: MATLAB function to calculate Lyapunov exponents," Statistical Software Components T7415012, Boston College Department of Economics, revised 16 Aug 2020.
    • Handle: RePEc:boc:bocode:t741512
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/a/annlyap.m
    File Function: program file
    Download Restriction: no
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