Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos

DOI10.1016/S0304-4076(03)00205-7zbMath1282.62212OpenAlexW2788057238MaRDI QIDQ2439050

Mototsugu Shintani, Oliver B. Linton

Publication date: 7 March 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00205-7

zbMATH Keywords

nonlinear dynamicsartificial neural networksnonparametric regressionnonlinear time seriessieve estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Neural nets and related approaches to inference from stochastic processes (62M45)

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Uses Software

• FUNFITS

Cites Work

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