ANNLYAP: MATLAB function to calculate Lyapunov exponents

Shapour Mohammadi

Statistical Software Components from Boston College Department of Economics

Abstract: This M-file calculates Lyapunov exponents with minimum RMSE neural network. After estimation of network weights and finding network with minimum BIC, derivatives are calculated. Sum of logarithm of QR decomposition on Jacobian matrix for observations gives spectrum of Lyapunov Exponents. Using the code is very simple, it needs only an scalar time series, number of lags and number of hidden unites. Higher number of hidden units leads to more precise estimation of Lyapunov exponent, but it is time consuming for less powerful personal computers. Number of lags determines number of embedding dimensions. Therefore, please give number of lags equal to number of embedding dimension. The codes creates networks with various neurons up to user supplied value for neurons and lags up to user specified number lags. Total number of networks are equal to number of neurons times number of lags. this modeling strategy is complex but helps to user select embedding dimension based on minimum BIC.

Language: MATLAB
Requires: MATLAB
Keywords: Lyapunov Exponents; Chaos; Time Series; Neural Networks; Jaccobian Method (search for similar items in EconPapers)
Date: 2009-07-16, Revised 2020-08-16
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http://fmwww.bc.edu/repec/bocode/a/annlyap.m program file (text/plain)

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