Análisis no lineal de series temporales en espacios de estados de alta dimensión

Diego Fernández ()
Additional contact information
Diego Fernández: Banco Central del Uruguay

No 2015006, Documentos de trabajo from Banco Central del Uruguay

Abstract: This article develops a methodology for the study of time series in state spaces of higher dimensions by chaotic dynamics tools. First a multivariate instability index in n dimensions and compared with the variance for the case n = 1. Second synchronization between state spaces so coevolution measuring time series is studied arises. An application to simulated series and financial series of daily frequency is performed.

Keywords: state space; chaotic dynamics; high dimension; nonlinear; espacios de estados; dinámica caótica; alta dimensión; no lineal (search for similar items in EconPapers)
Pages: 20 pages
Date: 2015
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bcu.gub.uy/Estadisticas-e-Indicadores/ ... 20Trabajo/6.2015.pdf First version, 2015 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bku:doctra:2015006

Access Statistics for this paper

More papers in Documentos de trabajo from Banco Central del Uruguay Biblioteca Especializada. Banco Central del Uruguay. Diagonal Fabini 777, Montevideo-Uruguay. CP 11100. Contact information at EDIRC.
Bibliographic data for series maintained by Biblioteca Especializada ().