时间序列最大Lyapunov指数的计算

Journal of Applied Sciences ›› 2003, Vol. 21 ›› Issue (2): 127-131.

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Computing the Largest Lyapunov Exponent from Time Series

LI Guo-hui¹, ZHOU Shi-ping², XU De-ming¹

1 School of Communication and Information Engineering, Shanghai University, Shanghai 200072, China;
2 School of Science, Shanghai University, Shanghai 200436, China

Received:2002-04-19 Revised:2002-06-25 Online:2003-06-10 Published:2003-06-10

Abstract

Abstract: A method to calculate the largest Lyapunov exponent from the observed time series based on its definition is proposed. We have tested it on several known systems, such as the Logistic model, the Henon mapping and the Lorenz system. It is found that the estimated largest Lyapunov exponent from time series has a reasonable good accuracy. More remarkably, the simulation result is independent of the embedding dimension and the delay time to a certain extent. The shorter data and the lower dimension of phase space simplify the computation without significant loss of precision.

Key words: Lyapunov exponent, phase space reconstruction, time series

CLC Number:

O547

LI Guo-hui, ZHOU Shi-ping, XU De-ming. Computing the Largest Lyapunov Exponent from Time Series[J]. Journal of Applied Sciences, 2003, 21(2): 127-131.

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Computing the Largest Lyapunov Exponent from Time Series

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