Distinguishing random and deterministic systems: Abridged version
From MaRDI portal
Publication:1821472
DOI10.1016/0022-0531(86)90014-1zbMath0616.62125OpenAlexW2054034433MaRDI QIDQ1821472
Publication date: 1986
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0022-0531(86)90014-1
trajectoriesLyapunov exponentcorrelation dimensionnonlinear difference equationsresidualsresidual testnonlinear deterministic economic modelstesting for deterministic chaos
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic growth models (91B62) Statistical methods; economic indices and measures (91B82)
Related Items (35)
Turnpike properties of capital accumulation games ⋮ Non-parametric estimation of deterministically chaotic systems ⋮ Optimal chaos, nonlinearity and feasibility conditions ⋮ The predictive power of price patterns ⋮ Sequential nonlinear estimation with nonaugmented priors ⋮ Solving nonlinear dynamic models by iterative dynamic programming ⋮ Multiperiodicity and irregularity in growth cycles: a continuous model of monetary attractors ⋮ A statistical framework for testing chaotic dynamics via Lyapunov exponents ⋮ Is the largest Lyapunov exponent preserved in embedded dynamics? ⋮ Noise in unspecified, nonlinear time series ⋮ The topological invariance of Lyapunov exponents in embedded dynamics ⋮ Deterministic chaos and fractal attractors as tools for nonparametric dynamical econometric inference: With an application to the Divisia monetary aggregates ⋮ Commodity price fluctuations: Price dependent delays and nonlinearities as explanatory factors ⋮ The role of chaotic processes in econometric models ⋮ Multiscale Lyapunov exponent for 2-microlocal functions ⋮ Statistical moments of Gaussian kernel correlation sum and weighted least square estimator of correlation dimension and noise level ⋮ Chaotic time series analysis in economics: Balance and perspectives ⋮ Chaos in integer order and fractional order financial systems and their synchronization ⋮ A positive Lyapunov exponent in Swedish exchange rates? ⋮ On complex behavior and exchange rate dynamics ⋮ Noise in autoregressive time-series ⋮ Detecting dynamical changes in time series by using the Jensen Shannon divergence ⋮ Business cycles and complex non-linear dynamics ⋮ Chaotic dynamics in agricultural markets ⋮ Random walk or chaos: a formal test on the Lyapunov exponent ⋮ Assessing nonlinear structures in real exchange rates using recurrence plot strategies ⋮ Dynamics of local search trajectory in traveling salesman problem ⋮ Complex behaviour in a production-distribution model ⋮ Chaos and nonlinear dynamics in financial and nonfinancial time series: Evidence from Finland ⋮ Heterogeneous beliefs and routes to chaos in a simple asset pricing model ⋮ A non-parametric test for independence based on symbolic dynamics ⋮ AN ALTERNATIVE TO THE BDS TEST: INTEGRATION ACROSS THE CORRELATION INTEGRAL ⋮ Market oscillations induced by the competition between value-based and trend-based investment strategies ⋮ Statistical inference and modelling of momentum in stock prices ⋮ The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Nonlinear oscillations, dynamical systems, and bifurcations of vector fields
- Determining Lyapunov exponents from a time series
- Measuring the strangeness of strange attractors
- Competitive chaos
- On the indeterminacy of capital accumulation paths
- Ergodic theory of differentiable dynamical systems
- On the abundance of aperiodic behaviour for maps on the interval
- Lyapunov exponents, entropy and periodic orbits for diffeomorphisms
- Small random perturbations of dynamical systems and the definition of attractors
- Lyapunov characteristic exponents for smooth dynamical systems and for Hamiltonian systems; a method for computing all of them. I: Theory
- On the nature of turbulence
- Autocorrelations of a certain chaos
- The practical use of variation principles in the determination of the stability of non linear systems
- On Endogenous Competitive Business Cycles
- Simple mathematical models with very complicated dynamics
This page was built for publication: Distinguishing random and deterministic systems: Abridged version
