TY - JOUR
T1 - Convergence rates and data requirements for Jacobian-based estimates of Lyapunov exponents from data
AU - Ellner, S.
AU - Gallant, Andrew Ronald
AU - McCaffrey, D.
AU - Nychka, D.
PY - 1991/3/11
Y1 - 1991/3/11
N2 - We present a method for estimating the dominant Lyapunov exponent from time-series data, based on nonparametric regression. For data from a finite-dimensional deterministic system with additive stochastic perturbations, we show that the estimate converges to the true values as the sample size increases, and give the asymptotic rate of convergence.
AB - We present a method for estimating the dominant Lyapunov exponent from time-series data, based on nonparametric regression. For data from a finite-dimensional deterministic system with additive stochastic perturbations, we show that the estimate converges to the true values as the sample size increases, and give the asymptotic rate of convergence.
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U2 - 10.1016/0375-9601(91)90958-B
DO - 10.1016/0375-9601(91)90958-B
M3 - Article
AN - SCOPUS:0001414087
SN - 0375-9601
VL - 153
SP - 357
EP - 363
JO - Physics Letters, Section A: General, Atomic and Solid State Physics
JF - Physics Letters, Section A: General, Atomic and Solid State Physics
IS - 6-7
ER -