Estimating the Lyapunov exponent from chaotic time series with dynamic noise

DOI10.1016/J.STAMET.2007.02.001zbMath1248.93162OpenAlexW2077074190MaRDI QIDQ713796

Koji Yonemoto, Takashi Yanagawa

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2324/3343

zbMATH Keywords

Lyapunov exponentdelay timeembedding dimension\(\varphi \)-mixingNadaraya-Watson kernel type estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Related Items (1)

Computation of the Lyapunov exponents in the compass-gait model under OGY control via a hybrid Poincaré map

Cites Work

• Noise reduction: Finding the simplest dynamical system consistent with the data
• A noise reduction method for signals from nonlinear systems
• A two-dimensional mapping with a strange attractor
• The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
• ESTIMATING THE EMBEDDING DIMENSION AND DELAY TIME FROM CHAOTIC TIME SERIES WITH DYNAMIC NOISE
• [https://portal.mardi4nfdi.de/wiki/Publication:3038407 Propri�t�s de convergence presque compl�te du pr�dicteur � noyau]
• Estimating the Lyapunov Exponent of a Chaotic System With Nonparametric Regression
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