Time series prediction using Lyapunov exponents in embedding phase space

J. Zhang; K. F. Man; J. Y. Ke

doi:10.1109/ICSMC.1998.728146

Time series prediction using Lyapunov exponents in embedding phase space

J. Zhang
, K. F. Man
, J. Y. Ke

City University of Hong Kong

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

6 Citations (Scopus)

Abstract

In this paper, a multi-dimension chaotic time series prediction method using Lyapunov Exponents in phase space is proposed. The method is based on the fundament characteristic of chaotic behaviour that sensitive dependence upon initial conditions (SDUIC) and Lyapunov Exponents (LEs) are the measure of the SDUIC in chaotic system. The fundamental characteristic of chaotic time series is analyzed, the proposal method is deduced. Numerical experimental results show that the proposed method is simple, practical and effective.

Original language	English
Pages (from-to)	1744-1749
Journal	Proceedings of the IEEE International Conference on Systems, Man and Cybernetics
Volume	2
DOIs	https://doi.org/10.1109/ICSMC.1998.728146
Publication status	Published - 1998
Event	1998 IEEE International Conference on Systems, Man, and Cybernetics - San Diego, CA, United States Duration: 11 Oct 1998 → 14 Oct 1998

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title = "Time series prediction using Lyapunov exponents in embedding phase space",

abstract = "In this paper, a multi-dimension chaotic time series prediction method using Lyapunov Exponents in phase space is proposed. The method is based on the fundament characteristic of chaotic behaviour that sensitive dependence upon initial conditions (SDUIC) and Lyapunov Exponents (LEs) are the measure of the SDUIC in chaotic system. The fundamental characteristic of chaotic time series is analyzed, the proposal method is deduced. Numerical experimental results show that the proposed method is simple, practical and effective.",

author = "J. Zhang and Man, \{K. F.\} and Ke, \{J. Y.\}",

year = "1998",

doi = "10.1109/ICSMC.1998.728146",

language = "English",

volume = "2",

pages = "1744--1749",

journal = "Proceedings of the IEEE International Conference on Systems, Man and Cybernetics",

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note = "1998 IEEE International Conference on Systems, Man, and Cybernetics ; Conference date: 11-10-1998 Through 14-10-1998",

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T1 - Time series prediction using Lyapunov exponents in embedding phase space

AU - Zhang, J.

AU - Man, K. F.

AU - Ke, J. Y.

PY - 1998

Y1 - 1998

N2 - In this paper, a multi-dimension chaotic time series prediction method using Lyapunov Exponents in phase space is proposed. The method is based on the fundament characteristic of chaotic behaviour that sensitive dependence upon initial conditions (SDUIC) and Lyapunov Exponents (LEs) are the measure of the SDUIC in chaotic system. The fundamental characteristic of chaotic time series is analyzed, the proposal method is deduced. Numerical experimental results show that the proposed method is simple, practical and effective.

AB - In this paper, a multi-dimension chaotic time series prediction method using Lyapunov Exponents in phase space is proposed. The method is based on the fundament characteristic of chaotic behaviour that sensitive dependence upon initial conditions (SDUIC) and Lyapunov Exponents (LEs) are the measure of the SDUIC in chaotic system. The fundamental characteristic of chaotic time series is analyzed, the proposal method is deduced. Numerical experimental results show that the proposed method is simple, practical and effective.

UR - https://www.scopus.com/pages/publications/0032320852

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0032320852&origin=recordpage

U2 - 10.1109/ICSMC.1998.728146

DO - 10.1109/ICSMC.1998.728146

M3 - RGC 21 - Publication in refereed journal

SN - 0884-3627

VL - 2

SP - 1744

EP - 1749

JO - Proceedings of the IEEE International Conference on Systems, Man and Cybernetics

JF - Proceedings of the IEEE International Conference on Systems, Man and Cybernetics

T2 - 1998 IEEE International Conference on Systems, Man, and Cybernetics

Y2 - 11 October 1998 through 14 October 1998

ER -

Time series prediction using Lyapunov exponents in embedding phase space

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