LYAPUNOV EXPONENTS OF RANDOM TIME-SERIES

Authors
TANAKA T AIHARA K TAKI M
Citation
T. Tanaka et al., LYAPUNOV EXPONENTS OF RANDOM TIME-SERIES, Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics, 54(2), 1996, pp. 2122-2124
Citations number
13
Categorie Soggetti
Physycs, Mathematical","Phsycs, Fluid & Plasmas
Journal title
Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics → ACNP
ISSN journal
1063651X
Volume
54
Issue
2
Year of publication
1996
Pages
2122 - 2124
Database
ISI
SICI code
1063-651X(1996)54:2<2122:LEORT>2.0.ZU;2-6
Abstract
The conventional method for estimating Lyapunov spectra can give spuri ous positive Lyapunov exponents when applied to random time series. We analyze this phenomenon by using a simple stochastic model which prod uces completely random time series with no temporal correlation. We sh ow that the possible estimation of spurious positive Lyapunov exponent s is due to the statistical nature and finiteness of data. We also der ive an upper bound of the largest Lyapunov exponent for the model.