Arbeitspapier

Classification of Processes by the Lyapunov exponent

This paper deals with the problem of the discrimination between wellpredictable and not-well-predictable time series. One criterion for the separation is given by the size of the Lyapunov exponent, which was originally defined for deterministic systems. However, the Lyapunov exponent can also be analyzed and used for stochastic time series. Experimental results illustrate the classification between well-predictable and not-well-predictable time series.

Language
Englisch

Bibliographic citation
Series: Technical Report ; No. 2004,70

Subject
Zeitreihenanalyse
Prognoseverfahren
Theorie
Klassifikationsanalyse

Event
Geistige Schöpfung
(who)
Busse, Anja M.
Event
Veröffentlichung
(who)
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
(where)
Dortmund
(when)
2004

Handle
Last update
10.03.2025, 11:45 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Busse, Anja M.
  • Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

Time of origin

  • 2004

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