Looking for systematic approach to select chaos tests

DOI10.1016/j.amc.2007.08.070zbMath1133.91532OpenAlexW2086279438MaRDI QIDQ2425964

P. Yousefpoor, H. Nojumi, Mohammad Shahrokh Esfahani

Publication date: 17 April 2008

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2007.08.070

zbMATH Keywords

largest Lyapunov exponentsurrogate data methodchaos mathematical definitionchaos teststhe BDS testthe close returns test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Statistical methods; economic indices and measures (91B82)

Related Items (4)

High level chaos in the exchange and index markets ⋮ Neglected chaos in international stock markets: Bayesian analysis of the joint return-volatility dynamical system ⋮ Nonlinear dynamics of equity, currency and commodity markets in the aftermath of the global financial crisis ⋮ Chaos measure dynamics in a multifactor model for financial market predictions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Chaotic analysis of the foreign exchange rates
• Determining Lyapunov exponents from a time series
• Measuring the strangeness of strange attractors
• Martingales, nonlinearity, and chaos
• A practical method for calculating largest Lyapunov exponents from small data sets
• Estimating the Lyapunov Exponent of a Chaotic System With Nonparametric Regression
• Chaos: A statistical perspective

This page was built for publication: Looking for systematic approach to select chaos tests