Abstract

http://ssrn.com/abstract=970074
 
 

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Using the Lyapunov Exponent as a Practical Test for Noisy Chaos


Ahmed BenSaïda


Faculty of Economics and Management

March 10, 2007


Abstract:     
This paper presents a practical framework to test chaotic dynamics even for noisy systems as opposed to stochastic dynamics. It elaborates an-easy-to-use and comprehensive algorithm to build a program to test chaos based on theoretical studies. A version of MATLAB m-code is provided in the appendix. Monte-Carlo simulations have confirmed that this test is powerful in detecting chaotic dynamics even in presence of moderate noises.

Number of Pages in PDF File: 38

JEL Classification: C52, C45, C63

working papers series


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Date posted: March 15, 2007  

Suggested Citation

BenSaïda, Ahmed, Using the Lyapunov Exponent as a Practical Test for Noisy Chaos (March 10, 2007). Available at SSRN: http://ssrn.com/abstract=970074 or http://dx.doi.org/10.2139/ssrn.970074

Contact Information

Ahmed BenSaïda (Contact Author)
Faculty of Economics and Management ( email )
Sidi Massaoud
Hiboun
Mahdia, 5111
Tunisia
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