Testing chaotic dynamics via Lyapunov exponents

https://doi.org/10.1016/S0167-2789(97)00306-0Get rights and content

Abstract

This paper presents a bootstrap-based test statistic for testing the presence of chaotic dynamics from data by using the Lyapunov exponents. In particular, a one-sided test statistic in Gençay's [Gençay, Physica D 89 (1996) 261–266] framework is designed and its small sample properties are tested on the Hénon map. The numerical examples show that the test statistic has desirable small sample properties.

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Cited by (27)

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