Forecasting chaotic systems: The role of local Lyapunov exponents

We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov exponents of a system. This information is used to correct for the inevitable bias of most non-parametric predictors. Using simulated data, we show that gains in prediction accuracy can be substantial.

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Year of publication:	2009-09
Authors:	Guegan, Dominique ; Leroux, Justin
Institutions:	HAL
Subject:	chaotic systems

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://halshs.archives-ouvertes.fr/halshs-00431726 Published, Chaos, Solitons & Fractals, 2009, 41, 5, 2401-2404
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010738482