To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guégan (1994) and we apply the results to real financial data.
Publié le : 1997-09-05
Classification:
Of,
Correlation,
Dynamical,
Systems,
Embedding,
Dimension,
Kernel,
Estimates,
Lyapunov,
Exponents,
Non-PARAMETRIC,
Estimation,
[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-00194487,
author = {Guegan, Dominique and L\'eorat, Guillaume},
title = {Consistent estimation to determine the embedding dimension in financial data},
journal = {HAL},
volume = {1997},
number = {0},
year = {1997},
language = {en},
url = {http://dml.mathdoc.fr/item/halshs-00194487}
}
Guegan, Dominique; Léorat, Guillaume. Consistent estimation to determine the embedding dimension in financial data. HAL, Tome 1997 (1997) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00194487/