Forecasting chaotic systems: The role of local Lyapunov exponents

Dominique Guégan and Justin Leroux

Chaos, Solitons & Fractals, 2009, vol. 41, issue 5, 2401-2404

Abstract: We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov exponents of a system. This information is used to correct for the inevitable bias of most non-parametric predictors. Using simulated data, we show that gains in prediction accuracy can be substantial.

Date: 2009
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:41:y:2009:i:5:p:2401-2404

DOI: 10.1016/j.chaos.2008.09.017

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