Using the Lyapunov Exponent as a Practical Test for Noisy Chaos
LaREMFiQ - IHEC
March 10, 2007
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
Date posted: March 15, 2007