Testing chaotic dynamics via Lyapunov exponents

被引：20

作者：

Bask, M ^{[1
]}

Gencay, R

机构：

[1] Umea Univ, Dept Econ, S-90187 Umea, Sweden

[2] Univ Windsor, Dept Econ, Windsor, ON N9B 3P4, Canada

来源：

PHYSICA D | 1998年 / 114卷 / 1-2期

关键词：

D O I：

10.1016/S0167-2789(97)00306-0

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper presents a bootstrap-based test statistic for testing the presence of chaotic dynamics from data by using the Lyapunov exponents. In particular, a one-sided test statistic in Gencay's [Gencay, Physica D 89 (1996) 261-266] framework is designed and its small sample properties are tested on the Henon map. The numerical examples show that the test statistic has desirable small sample properties. (C) 1998 Elsevier Science B.V.

引用

页码：1 / 2

页数：2