Testing chaotic dynamics via Lyapunov exponents (replication data)

DOI

We propose a new test to detect chaotic dynamics, based on the stability of the largest Lyapunov exponent from different sample sizes. This test is applied to the data used in the single-blind controlled competition tests for non-linearity and chaos that were generated by Barnett et al. (1997), as well as to several other chaotic series. The results suggest that the new test is particularly effective when compared to other stochastic alternatives (both linear and non-linear). For large sample sizes the power of the test is one, although for small sample sizes it diminishes occasionally.

Identifier
DOI https://doi.org/10.15456/jae.2022319.0710520798
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776111
Provenance
Creator Fernández-Rodríguez, Fernando; Sosvilla-Rivero, Simon; Andrada-Félix, Julián
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2005
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics