Chaos: A statistical perspective
Research exposition (monographs, survey articles) pertaining to dynamical systems and ergodic theory (37-02) Strange attractors, chaotic dynamics of systems with hyperbolic behavior (37D45) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Inference from stochastic processes (62M99)
The focus of the book is on the interface between statistics and chaos. Thus, an informal approach is adopted. Four case studies are presented in the first chapter to illustrate the practical scope of the techniques and methods resulting from the statistical perspective to chaos. Chapter 2 explains some theoretical aspects of deterministic systems. The main concepts of deterministic chaos are intoduced: Lyapunov exponent, correlation dimension, delay coordinates and dynamics reconstruction. Then, stochastic systems are dealt with in chapter 3. Here the points addressed are: Ergodicity, shadowing, initial-value sensitivity, dimension of state vector, and observational noise. The next two chapters are on statistical analysis. They start with plots useful to detect chaotic behaviour. Tests for nonlinearity and estimation of the embedding dimension are other main topics of chapter 4. The sections of chapter 5 are: Correlation Dimension, Estimation of Measures of Initial-Value Sensitivity, and Map Reconstruction. Linear prediction fails to recognise that how well one can predict depends on where one is in the parameter space. Therefore chapter 6 deals with nonlinear least-squares prediction. After some theory the authors give several examples. Then they present a selective summary of recent approaches. Miscellaneous topics are touched next. They are of varying degrees of importance in the study of deterministic chaos and were selected to give a general flavour of the potential points of contacts with statistics. Finally, the appendix gives a more systematic introduction to some of the fundamentals of the theory of deterministic chaos, which complements the informal approach given in chapter 2.
- Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach
- Efficient estimation of copula-based semiparametric Markov models
- Automatic estimation of attractor invariants
- Forecasting the underlying potential governing the time series of a dynamical system
- A comparison of inferential methods for highly nonlinear state space models in ecology and epidemiology
- Nonlinear time series analysis since 1990: Some personal reflections
- Solving the chaos model-data paradox in the cryptocurrency market
- Chaotic signals inside some tick-by-tick financial time series
- Looking for systematic approach to select chaos tests
- Identification of an additive nonlinear system and its applications in generalized Hammerstein models
- Nonparametric density estimation for nonmixing approximable stochastic processes
- Estimating Lyapunov exponents on a noisy environment by global and local Jacobian indirect algorithms
- Foreword: Special issue on statistical chaos and complexity
- Stochastic dynamics: Markov chains and random transformations
- Assessing Chaos in Time Series: Statistical Aspects and Perspectives
- Sample Entropy Statistics and Testing for Order in Complex Physiological Signals
- Some theoretical properties of phase-randomized multivariate surrogates
- scientific article; zbMATH DE number 53334 (Why is no real title available?)
- Likelihood and Bayesian Prediction of Chaotic Systems
- scientific article; zbMATH DE number 193148 (Why is no real title available?)
- Some aspects of modeling dependence in copula-based Markov chains
- Limit theorems for iterated random functions
- scientific article; zbMATH DE number 775063 (Why is no real title available?)
- scientific article; zbMATH DE number 846102 (Why is no real title available?)
- “Asset Allocation with Hedge Funds on the Menu,” Phelim Boyle and Sun Siang Liew, October 2007
- Rising Above Chaotic Likelihoods
- STATISTICAL DEPENDENCY IN CHAOS
- Asset allocation under threshold autoregressive models
- Rejoinder
- Revisiting the Canadian Lynx Time Series Analysis Through TARMA Models
- Feature matching in time series modeling
- Robust Estimation for Threshold Autoregressive Moving-Average Models
- Parametrized families of Gibbs measures and their statistical inference
- Chaos and statistical methods. Proceedings of the Sixth Kyoto Summer Institute, Kyoto, Japan, September 12-15, 1983
- Statistical inference for dynamical systems: a review
- Testing Linearity for Network Autoregressive Models
- A note on the invertibility of nonlinear ARMA models
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