|
EconStor >
Technische Universität Dortmund >
Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22549
|
| | |
Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Weihs, Claus | | en_US |
| dc.contributor.author | | Busse, Anja M. | | en_US |
| dc.date.accessioned | | 2009-01-29T15:02:44Z | | - |
| dc.date.available | | 2009-01-29T15:02:44Z | | - |
| dc.date.issued | | 2004 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/22549 | | - |
| dc.description.abstract | | This paper deals with the problem of the discrimination between stable and unstable time series. One criterion for the seperation is given by the size of the Lyapunov exponent, which was originally defined for deterministic systems. However, this paper will show, that the Lyapunov exponent can also be analyzed and used for ergodic stochastic time series. Experimantal results illustrate the classification by the Lyapunov exponent. Although the Lyapunov exponent is a discriminatory parameter of the asymptotic behavior and can be interpreted as a parameter of the asymptotic distribution in the stochastic case, it has to be estimated from a given time series, where the process might still be in the transient state. Experimental results will show that in special cases the estimation leads to misclassifications of the time series and the underlying process due to the uncertainty of estimators for the Lyapunov exponent. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2004,37 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Lyapunov exponent for stochastic time series | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 391701479 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | Technical Reports, SFB 475, TU Dortmund
|
| Files in This Item:
| |
| File |
Description |
Size | Format |
| tr37-04.ps | Original Publication | 216.07 kB | Postscript | | tr37-04.pdf | | 195.7 kB | Adobe PDF |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|