| Publications [#266658] of A Ronald Gallant
Journal Articles
- S Ellner, AR Gallant, D McCaffrey and D Nychka, Convergence rates and data requirements for Jacobian-based estimates of Lyapunov exponents from data,
Physics Letters A, vol. 153 no. 6-7
(1991),
pp. 357-363, ISSN 0375-9601
(last updated on 2016/06/24)
Abstract: We present a method for estimating the dominant Lyapunov exponent from time-series data, based on nonparametric regression. For data from a finite-dimensional deterministic system with additive stochastic perturbations, we show that the estimate converges to the true values as the sample size increases, and give the asymptotic rate of convergence. © 1991.
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