Statistical estimation of the Embedding Dimension of a dynamical system
Boscq, D. ; Guegan, Dominique ; Léorat, Guillaume
HAL, halshs-00194421 / Harvested from HAL
Text on HAL
We consider a dynamical ergodic system defined as:
Xt=ù(Xt-1,..., Xt-m0)
where m0 is supposed to be unknown. X1,..., Xn being observed, 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-m0), m=1, 2,.... We present some simulations to illustrate our method and we discuss the computing problems.
Publié le : 1999-04-05
Classification:  Embedding Dimension,  dynamical system,  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST],  [MATH.MATH-DS]Mathematics [math]/Dynamical Systems [math.DS] 
@article{halshs-00194421,
     author = {Boscq, D. and Guegan, Dominique and L\'eorat, Guillaume},
     title = {Statistical estimation of the Embedding Dimension of a dynamical system},
     journal = {HAL},
     volume = {1999},
     number = {0},
     year = {1999},
     language = {en},
     url = {http://dml.mathdoc.fr/item/halshs-00194421}
}

Boscq, D.; Guegan, Dominique; Léorat, Guillaume. Statistical estimation of the Embedding Dimension of a dynamical system. HAL, Tome 1999 (1999) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00194421/