The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
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Ramazan Gencay
The method of reconstructing an n-dimensional system from observations is to form vectors of m consecutive observations, which for m 2n, is generically an embedding. This is Takens's result. The Jacobian methods for Lyapunov exponents utilize a function of m variables to model the data, and the Jacobian matrix is constructed at each point in the orbit of the data. When embedding occurs at dimension m = n, the Lyapunov exponents of the reconstructed dynamics are the Lyapunov exponents of the original dynamics. However, if embedding only occurs for an m > n, then the Jacobian method yields m Lyapunov exponents, only n of which are the Lyapunov exponents of the original system. The problem is that as currently used, the Jacobian method is applied to the full m-dimensional space of the reconstruction, and not just to the n-dimensional manifold that is the image of the embedding map. Our examples show that it is possible to obtain spurious Lyapunov exponents that are even larger than the largest Lyapunov exponent of the original system.
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
Artikel in diesem Heft
- Article
- Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
- The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
- Tests for Nonlinearity in EMS Exchange Rates
- Algorithm
- SIMANN: A Global Optimization Algorithm using Simulated Annealing
Artikel in diesem Heft
- Article
- Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
- The Identification of Spurious Lyapunov Exponents in Jacobian Algorithms
- Tests for Nonlinearity in EMS Exchange Rates
- Algorithm
- SIMANN: A Global Optimization Algorithm using Simulated Annealing
