EconPapers    
Economics at your fingertips  
 

Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems

Dominique Guegan and Justin Leroux

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Abstract: We propose a nouvel methodology for forecasting chaotic systems which uses information on local Lyapunov exponents (LLEs) to improve upon existing predictors by correcting for their inevitable bias. Using simulations of the Rössler, Lorenz and Chua attractors, we find that accuracy gains can be substantial. Also, we show that the candidate selection problem identified in Guégan and Leroux (2009a,b) can be solved irrespective of the value of LLEs. An important corrolary follows: the focal value of zero, which traditionally distinguishes order from chaos, plays no role whatsoever when forecasting deterministic systems.

Keywords: Monte Carlo simulations; Chua attractor; Rössler attractor; Lyapunov exponent; Lorenz attractor; prévisions Rössler; Chua; Lorenz; Chaos theory; forecasting (search for similar items in EconPapers)
Date: 2010-01
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00462454
References: Add references at CitEc
Citations Track citations by RSS feed

Published in Documents de travail du Centre d'Economie de la Sorbonne 2010.19 - ISSN : 1955-611X. 2010

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00462454/document (application/pdf)

Related works:
Working Paper: Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems (2010) Downloads
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:hal:cesptp:halshs-00462454

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2018-11-13
Handle: RePEc:hal:cesptp:halshs-00462454