Smoothness, degrees of freedom and Liapunov exponents of a time series
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 Eckman...
| Autores: | , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2000 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/64136 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/64136 |
| Access Level: | acceso abierto |
| Palabra clave: | Procesos estocásticos Exponente de Lyapunov 1208.08 Procesos Estocásticos |
| Sumario: | 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. |
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