A robust method to estimate the maximal Lyapunov exponent of a time series

A very simple method to compute the maximal Lyapunov exponent of a time series is introduced that makes use of the statistical properties of the local divergence rates of nearby trajectories.

Abstract

A very simple method to compute the maximal Lyapunov exponent of a time series is introduced. The algorithm makes use of the statistical properties of the local divergence rates of nearby trajectories. It does not depend explicitly on the knowledge of the correct embedding dimension or on other parameters.