Chaos test

バージョン 5.1.0.0 (22.4 KB) 作成者: Ahmed BenSaïda
A test for chaotic dynamics of a noisy time series based on the Lyapunov exponent.
5.0
(4)
ダウンロード: 6.2K
更新 2018/1/25

ライセンスの表示

This test performs the test for chaotic dynamics of a noisy time series based on the Lyapunov exponent. The input is a vector of observed time series which can be stochastic or chaotic, usually time series has noise, so this code tests the positivity of the Lyapunov exponent based on a neural net approximation of the hidden chaotic map. This test computes the Lyapunov exponent using the Jacobian method without any need to specify an ODE or a suspected map giving only a vector of observation.
For a detailed information see my paper: http://www.sciencedirect.com/science/article/pii/S2352711015000096

引用

Ahmed BenSaïda (2024). Chaos test (https://www.mathworks.com/matlabcentral/fileexchange/22667-chaos-test), MATLAB Central File Exchange. に取得済み.

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バージョン 公開済み リリース ノート
5.1.0.0

Minor updates.
Minor improvement.
5.0.0.0

Improve data handling to avoid eigenvalues of infinity.
Updated description.
1.8.0.0

Update error reporting.
1.7.0.0

Now the test is in a single m-file.
1.6.0.0

Minor bug fix.
1.5.0.0

Remove the need to garch or economic toolbox.
1.4.0.0

Change the links.
1.3.0.0

Minor improvements.
1.2.0.0

Change the default activation function to hyperbolic tangent, since the logistic function is not suited for Noisy time series. Moreover, make the code compatible with the latest version of MATLAB.
1.1.0.0

Added some detailed information in file description.
1.0.0.0