Título:
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Smoothness, degrees of freedom and Liapunov exponents of a time series
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Autores:
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Mera Rivas, María Eugenia ;
Morán Cabré, Manuel
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Decanato, 2000
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Dimensiones:
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application/pdf
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Nota general:
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cc_by_nc_sa
info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias: Matemáticas: Procesos estocásticos
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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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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En línea:
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https://eprints.ucm.es/id/eprint/27273/1/0009.pdf
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