Template-type: ReDIF-Paper 1.0
Author-Name: María Eugenia Mera Rivas
Author-Email: mera@ccee.ucm.es
Author-Workplace-Name: Departamento de Análisis Económico y Economía Cuantitativa. Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Name: Manuel Morán Cabré
Author-Email: mmoranca@ccee.ucm.es
Author-Workplace-Name: Departamento de Análisis Económico y Economía Cuantitativa. Universidad Complutense de Madrid.
Title: Smoothness, degrees of freedom and Liapunov exponents of a time series
Abstract: We propose a set of tests addressing the issue of determining whether the generating law of a time series is a stochastic 
	process or a chaotic dynamics. In the latter case, we test the smoothness and find the number of degrees of freedom of the 
	underlying dynamics. We propose an adaptation of Eckmann and Ruelle algorithm for the computation of the Liapunov exponents 
	of a time series. This algorithm computes efficiently the whole Liapunov spectrum of the observed dynamics, avoiding the 
	problem of the spurious exponents.
Keywords: Procesos estocásticos; Exponente de Lyapunov.
Length: 57 pages 
Creation-Date: 2000 
Number: 00-09   
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doctra00-09.txt
File-URL: https://eprints.ucm.es/id/eprint/27273/1/0009.pdf
File-Format: Application/pdf 
Handle: RePEc:ucm:doctra:00-09