Fundamental limitations for estimating dimensions and Lyapunov exponents in dynamical systems

Abstract

We show that values of the correlation dimension estimated over a decade from the Grassberger-Procaccia algorithm cannot exceed the value 2 log10N if N is the number of points in the time series. When this bound is saturated it is thus not legitimate to conclude that low dimensional dynamics is present. The estimation of Lyapunov exponents is also discussed.