Testing chaotic dynamics via Lyapunov exponents

被引：18
|
作者：
Bask, M [1 ]
Gencay, R
机构：
[1] Umea Univ, Dept Econ, S-90187 Umea, Sweden
[2] Univ Windsor, Dept Econ, Windsor, ON N9B 3P4, Canada
来源：
PHYSICA D | 1998年 / 114卷 / 1-2期
关键词：
D O I：
10.1016/S0167-2789(97)00306-0
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper presents a bootstrap-based test statistic for testing the presence of chaotic dynamics from data by using the Lyapunov exponents. In particular, a one-sided test statistic in Gencay's [Gencay, Physica D 89 (1996) 261-266] framework is designed and its small sample properties are tested on the Henon map. The numerical examples show that the test statistic has desirable small sample properties. (C) 1998 Elsevier Science B.V.
引用
收藏
页码：1 / 2
页数：2
相关论文
共 50 条
  • [1] Testing chaotic dynamics via Lyapunov exponents
    Bask, Mikael
    Gencay, Ramazan
    [J]. Physica D: Nonlinear Phenomena, 1998, 114 (1-2): : 1 - 2
  • [2] Testing chaotic dynamics via Lyapunov exponents
    Fernández-Rodríguez, F
    Sosvilla-Rivero, S
    Andrada-Félix, J
    [J]. JOURNAL OF APPLIED ECONOMETRICS, 2005, 20 (07) : 911 - 930
  • [3] A statistical framework for testing chaotic dynamics via Lyapunov exponents
    Gencay, R
    [J]. PHYSICA D, 1996, 89 (3-4): : 261 - 266
  • [4] Chaotic Asteroidal Dynamics and Maximum Lyapunov Exponents
    I. I. Shevchenko
    V.V. Kouprianov
    A. V. Melnikov
    [J]. Solar System Research, 2003, 37 : 74 - 82
  • [5] Chaotic asteroidal dynamics and maximum Lyapunov exponents
    Shevchenko, II
    Kouprianov, VV
    Melnikov, AV
    [J]. SOLAR SYSTEM RESEARCH, 2003, 37 (01) : 74 - 82
  • [6] Testing chaotic dynamics in systems with two positive Lyapunov exponents: A bootstrap solution
    Giannerini, Simone
    Rosa, Rodolfo
    Gonzalez, Diego Luis
    [J]. INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS, 2007, 17 (01): : 169 - 182
  • [7] Lyapunov exponents and coalescence of chaotic trajectories
    Longa, L
    Dias, SP
    Curado, EMF
    [J]. PHYSICAL REVIEW E, 1997, 56 (01): : 259 - 263
  • [8] Lyapunov exponents and coalescence of chaotic trajectories
    [J]. Phys Rev E., 1-A pt A (259):
  • [9] Mixing and Lyapunov exponents of chaotic systems
    Logunov, M. Yu.
    Butkovskii, O. Ya.
    [J]. TECHNICAL PHYSICS, 2008, 53 (08) : 959 - 965
  • [10] LOCAL LYAPUNOV EXPONENTS IN CHAOTIC SYSTEMS
    ECKHARDT, B
    YAO, DM
    [J]. PHYSICA D, 1993, 65 (1-2): : 100 - 108
12345