expensive. The polynomial chaos approach has been shown to be more efficient than Monte Carlo for quantifying the effects of … polynomial chaos theory for parameter estimation: a Bayesian approach, and an approach using an extended Kalman filter (EKF) to … obtain the polynomial chaos representation of the uncertain states and the uncertain parameters. The two methods are applied …

' beliefs, in order to explore non-linearities and possible chaotic behaviour. The theoretical model contains an intrinsic non-linearity … that gives rise to a jerk differential equation, which is in principle capable of generating chaos. The model is …

The search for deterministic chaos in economic and financial time series has attracted much interest over the past …

Chaos theory offers to time series analysis new perspectives as well as concepts and ideas that have a through … interval to the estimates of the MLCE. It is shown that in addition to answering the question of the presence of chaos, these …

address two specific questions: "Masked by stochasticity, do financial data exhibit deterministic nonlinearity?", and "If so … fixings, and the USD-JPY exchange rate. For each data set we apply surrogate data methods and nonlinearity tests to quantify … linear noise or conditional heteroskedastic models and that there therefore exists detectable deterministic nonlinearity that …