PL EN


2014 | 203 | 101-113
Article title

Wpływ redukcji szumu losowego metodą najbliższych sąsiadów na stabilność największego wykładnika Lapunowa w ekonomicznych szeregach czasowych

Content
Title variants
EN
The Effect of Random Noise by the Nearest Neighbors Method on the Stability of the Largest Lyapunov Exponent in Economic Time Series
Languages of publication
PL
Abstracts
EN
The Oseledec theorem (1968) and the theorems given in the paper Eckmann, Ruelle (1985) show the Lyapunov exponents exist for almost all the points in the state space of a dynamical system, and they are constant for almost all points in the basin of attraction of the attractor of dynamical system. However, the above-mentioned theorem applies only to deterministic systems. The Oseledec theorem provides the stability of the largest Lyapunov exponent regardless of the number of observations for the time series generated by deterministic chaotic system. While for the time series generated by a stochastic system, increase the number of observations in a series will cause change in the value of the largest Lyapunov exponent. In this paper researched the effect of the number of observations of the time series on the value of largest Lyapunov exponent. In addition, the stability of the largest Lyapunov exponent was examined in the time series after random noise reduction procedure.
Year
Volume
203
Pages
101-113
Physical description
Contributors
References
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Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-638df55b-637c-4001-9d71-9de1904cd865
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