Consistent estimation to determine the embedding dimension in financial data

Dominique Guegan () and Guillaume Léorat
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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

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Abstract: To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guégan (1994) and we apply the results to real financial data.

Keywords: Of; Correlation; Dynamical; Systems; Embedding; Dimension; Kernel; Estimates; Lyapunov; Exponents; Non-PARAMETRIC; Estimation (search for similar items in EconPapers)
Date: 1997-09
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Published in European Journal of Finance, 1997, 3 (3), pp.231 - 242. ⟨10.1080/135184797337453⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00194487

DOI: 10.1080/135184797337453

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