PL EN


2013 | 132 | 160-168
Article title

Wpływ redukcji poziomu szumu losowego metodą najbliższych sąsiadów na wartość największego wykładnika Lapunowa

Authors
Content
Title variants
EN
Effect of Reduction of Random Noise by Method of the Nearest Neighbors on the Value of the Largest Lyapunov Exponent
Languages of publication
PL
Abstracts
EN
Since the presence of noise in the data can significantly affect the characteristics of dynamic systems, the aim of the article will be to evaluate effect of reduction of random noise by method of the nearest neighbors on the value of the largest Lyapunov exponent. The test will be conducted on the basis of the economic time series, which consist of closing prices of companies listed on the Warsaw Stock Exchange and the daily exchange rates.
Year
Volume
132
Pages
160-168
Physical description
Contributors
References
  • Abarbanel H.D., Brown R., Kennel M.B.: Determining Embedding Dimension for Phase Space Reconstruction Using a Geometrical Construction. "Physical Review A" 1992, Vol. 45(6), s. 3404-3411.
  • Kantz H.: A Robust Method to Estimate the Maximal Lyapunov Exponent of a Time Series. "Physical Letters A" 1994, Vol. 185(1), s. 77-87.
  • Kantz H., Schreiber T.: Nonlinear Time Series Analysis. Cambridge University Press, Cambridge 1997.
  • Orzeszko W.: Identyfikacja i prognozowanie chaosu deterministycznego w ekonomicznych szeregach czasowych. Polskie Towarzystwo Ekonomiczne, Warszawa 2005.
  • Ramsey J.B., Sayers C.L., Rothman P.: The Statistical Properties of Dimension Calculations Using Small Data Sets: Some Economic Applications. "International Economic Review" 1990, Vol. 31, No. 4.
  • Rosenstein M.T., Collins J.J., De Luca C.J.: A Practical Method for Calculating Largest Lyapunov Exponents from Small Data Sets. "Physica D" 1993, Vol. 65, s. 117-134.
  • Takens F.: Detecting Strange Attractors in Turbulence. W: Lecture Notes in Mathematics. Red. D.A. Rand, L.S. Young. Springer, Berlin 1981, s. 366-381.
  • Zawadzki H.: Chaotyczne systemy dynamiczne. Akademia Ekonomiczna, Katowice 1996.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-2ec7631e-ba7c-4362-996b-66275a629109
JavaScript is turned off in your web browser. Turn it on to take full advantage of this site, then refresh the page.