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

Dominique Guegan () and Justin Leroux
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Dominique Guegan: Centre d'Economie de la Sorbonne - Paris School of Economics, https://cv.archives-ouvertes.fr/dominique-guegan

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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: Chaos theory; forecasting; Lyapunov exponent; Lorenz attractor; Rössler attractor; Chua attractor; Monte Carlo Simulations (search for similar items in EconPapers)
JEL-codes: C15 C22 C53 C65 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2010-01
New Economics Papers: this item is included in nep-for and nep-ore
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http://mse.univ-paris1.fr/pub/mse/CES2010/10019.pdf (application/pdf)

Related works:
Working Paper: Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems (2011)
Working Paper: Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:10019

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