Dimension estimation with the BDS-G statistic

Mariano Matilla-García, P. Sanz and F. J. Vazquez

Applied Economics, 2004, vol. 36, issue 11, 1219-1223

Abstract: The issue of time delay has been controversial among the specialized literature. In fact, there exist some contrasted methods to choose it. It is the case that even though they are investigated for chaotic series, they fail to detect which series come from a deterministic and chaotic system. In this study a new procedure for selecting the delay time which produces good results about the estimation of the correlation dimension in chaotic series is introduced. The method is based upon a statistic (BDS-G), rooted on the integral correlation function, that takes advantage of the information contained in the data in terms of dependence, and it uses it to choose proper delay times and embedding dimensions. The results for the studied series, even for small data sets, are satisfactory.

Date: 2004
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DOI: 10.1080/0003684042000247398

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