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Local Lyapunov Exponents: A new way to predict chaotic systems

  • Dominique Guegan


    (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics)

  • Justin Leroux

    (HEC Montréal - HEC MONTRÉAL)

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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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
Date of revision:
Publication status: Published in Christos H. Skiadas, Ioannis Dimotikalis, Charilaos Skiadas. Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing, pp.158-185, 2009
Handle: RePEc:hal:cesptp:halshs-00511996
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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 b08014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2008.
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