Statistical estimation of the Embedding Dimension of a dynamical system

D. Boscq, Dominique Guegan () and Guillaume Léorat
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D. Boscq: ISUP - Institut de Statistique de Sorbonne Université - SU - Sorbonne Université
Dominique Guegan: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Guillaume Léorat: SLP Infoware - SLP Infoware

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Abstract: We consider a dynamical ergodic system defined as:Xt=ù(Xt-1,..., Xt-m0)where m0 is supposed to be unknown. X1,..., Xn being observed, we construct and study an estimate of m0 based on X1,..., XN, using the fact that m0 is a breaking point for the regularity of the distribution of (Xt-1,..., Xt-m0), m=1, 2,.... We present some simulations to illustrate our method and we discuss the computing problems.

Keywords: Embedding Dimension; dynamical system (search for similar items in EconPapers)
Date: 1999-04
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Published in International journal of bifurcation and chaos in applied sciences and engineering , 1999, 9 (4), pp.645 - 656. ⟨10.1142/S0218127499000456⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00194421

DOI: 10.1142/S0218127499000456

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