Smoothness, degrees of freedom and Liapunov exponents of a time series

Maria Mera and Manuel Morán Cabré (mmoranca@ccee.ucm.es)
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Manuel Morán Cabré: Departamento de Análisis Económico y Economía Cuantitativa. Universidad Complutense de Madrid.

No 00-09, Documentos de trabajo de la Facultad de Ciencias Económicas y Empresariales from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales

Abstract: We propose a set of tests addressing the issue of determining whether the generating law of a time series is a stochastic process or a chaotic dynamics. In the latter case, we test the smoothness and find the number of degrees of freedom of the underlying dynamics. We propose an adaptation of Eckmann and Ruelle algorithm for the computation of the Liapunov exponents of a time series. This algorithm computes efficiently the whole Liapunov spectrum of the observed dynamics, avoiding the problem of the spurious exponents.

Keywords: Procesos estocásticos; Exponente de Lyapunov. (search for similar items in EconPapers)
Pages: 57 pages
Date: 2000
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