Download This PaperUsing the Lyapunov Exponent as a Practical Test for Noisy Chaos
38 Pages Posted: 15 Mar 2007
Date Written: 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.
JEL Classification: C52, C45, C63
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Nonparametric Neutral Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
-
Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos
-
Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors
-
Testing for Nonlinear Structure and Chaos in Economic Time Series
By Cars H. Hommes and S. Manzan
-
Seasonal Mackey-Glass-Garch Process and Short-Term Dynamics
By Catherine Kyrtsou and Michel Terraza
-
The Stability of Electricity Prices: Estimation and Inference of the Lyapunov Exponents
By Mikael Bask, Tung Liu, ...
-
Measuring Potential Market Risk
By Mikael Bask
-
Energy Sector Pricing: On the Role of Neglected Nonlinearity