Curved Chaotic Map Time Series Models and Their Stochastic Reversals

DOI10.1111/1467-9469.00110MaRDI QIDQ4231311zbMATH OpenOpenAlexFDO

Authors A. J. Lawrance, N. M. Spencer

Publication date 14 March 1999

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9469.00110

zbMATH Keywords

chaotic curved mapsinvariant distributionsLyapunov exponentsserial dependencetime reversal

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99) Cryptography (94A60)

Review text

The authors deal with two families of two-branch models, the so-called ``curved tent family defined by \(x_{t+1}=1-(1-2x_t)^{\nu}\) as \(0\leq x_t \leq 1/2\) and \(x_{t+1}=1-(2x_t-1)^{\nu}\) as \(1/2\leq x_t \leq 1\); and the ``curved binary family such that \(x_{t+1}=1-(1-2x_t)^{\nu}\) as \(0\leq x_t \leq 1/2\) and \(x_{t+1}=1-(2-2x_t)^{\nu}\) as \(1/2\leq x_t \leq 1\), where \(0\leq \nu \leq 2\). These types of chaotic map time series models include the well-known tent, logistic and binary-shift maps as special cases. The deterministic behavior is investigated via invariant distributions, Lyapunov exponents and serial dependency. Iterative simulations are used when analytic expressions cannot be obtained. Stochastic time reversal of the families is shown to produce models with a broader range of stochastic and chaotic properties than their deterministic counterparts. Applications to cryptography and communication systems are outlined.

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