Estimating the Lyapunov exponent from chaotic time series with dynamic noise

DOI10.1016/j.stamet.2007.02.001zbMath1248.93162MaRDI QIDQ713796

Koji Yonemoto, Takashi Yanagawa

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2324/3343

zbMATH Keywords

Lyapunov exponent; delay time; embedding dimension; \(\varphi \)-mixing; Nadaraya-Watson kernel type estimator

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

93E10: Estimation and detection in stochastic control theory

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Cites Work

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