NOISE ESTIMATION BY USE OF NEIGHBORING DISTANCES IN TAKENS SPACE AND ITS APPLICATIONS TO STOCK MARKET DATA

DOI10.1142/S0218127406015763zbMath1140.91470arXivcond-mat/0412098OpenAlexW2149879960MaRDI QIDQ5292338

Janusz A. Hołyst, Krzysztof Urbanowicz

Publication date: 20 June 2007

Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0412098

zbMATH Keywords

time seriesstock marketnoise level estimation

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items

Estimating the largest Lyapunov exponent and noise level from chaotic time series ⋮ Error covariance matrix estimation of noisy and dynamically coupled time series ⋮ LYAPUNOV-EXPONENT SPECTRUM FROM NOISY TIME SERIES

Cites Work

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