Multiscale Lyapunov exponent for 2-microlocal functions

Zouhaier Dhifaoui, Hedi Kortas and Samir Ben Ammou

Chaos, Solitons & Fractals, 2009, vol. 42, issue 5, 2675-2687

Abstract: The Lyapunov exponent is an important indicator of chaotic dynamics. Using wavelet analysis, we define a multiscale representation of this exponent which we demonstrate the scale-wise dependence for functions belonging to Cx0s,s′ spaces. An empirical study involving simulated processes and financial time series corroborates the theoretical findings.

Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0960077909003324
Full text for ScienceDirect subscribers only

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:eee:chsofr:v:42:y:2009:i:5:p:2675-2687

DOI: 10.1016/j.chaos.2009.03.174

Access Statistics for this article

Chaos, Solitons & Fractals is currently edited by Stefano Boccaletti and Stelios Bekiros

More articles in Chaos, Solitons & Fractals from Elsevier
Bibliographic data for series maintained by Thayer, Thomas R. ().