Statistical Estimation of the Embedding Dimension of a Dynamic System

Let X1,...,Xn be observed random variables generated by a chaotic transformation Y such that Xt=Y(Xt-1,...,Xt-m0). We construct and study an estimate of m0 based on X1,...Xn, using the fact that m0 is a breaking point for the regularity of the distribution of (Xt-1,...Xt-m), m=1,2,.... We present some simulations to illustrate our method and we discuss the computing problems.

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Year of publication:	1998
Authors:	Guegan, D. ; Bosq, D. ; Leorat, G.
Subject:	DYNAMIC ANALYSIS \| ECONOMETRICS

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Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005486801