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Using the Lyapunov Exponent as a Practical Test for Noisy Chaos

38 Pages Posted: 15 Mar 2007  

Ahmed BenSaïda

LaREMFiQ - IHEC

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

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

Ahmed BenSaïda (Contact Author)

LaREMFiQ - IHEC ( email )

B.P. 40, Route de la ceinture
Sahloul 2
Sousse, 4054
Tunisia

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