Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/22549 
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dc.contributor.authorWeihs, Clausen
dc.contributor.authorBusse, Anja M.en
dc.date.accessioned2009-01-29T15:02:44Z-
dc.date.available2009-01-29T15:02:44Z-
dc.date.issued2004-
dc.identifier.urihttp://hdl.handle.net/10419/22549-
dc.description.abstractThis 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
dc.language.isoengen
dc.publisher|aUniversität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen |cDortmunden
dc.relation.ispartofseries|aTechnical Report |x2004,37en
dc.subject.ddc519en
dc.subject.stwStochastischer Prozessen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwTheorieen
dc.titleLyapunov exponent for stochastic time series-
dc.typeWorking Paperen
dc.identifier.ppn391701479en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb475:200437en

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