Estimation of Lyapunov exponents from time series: the stochastic case
Physics Letters APublished 1 July 1993
M. Dämmig, F. Mitschke
Citations69
SJR quartileQ2
SJR score0.46
SNIP0.81
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Abstract
Direct estimation of the largest Lyapunov exponent from deterministically chaotic data is well established. From stochastic data a finite, positive value is obtained as well; we show how it is determined by spectral properties of the signal and by computational parameters. Distinction of chaos versus noise is discussed.
Keywords
Computer ScienceEconomics, Econometrics and FinancePhysics and Astronomy
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