Time series prediction using Lyapunov exponents in embedding phase space

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

doi:10.1109/ICSMC.1998.728146

Author(s)

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

Related Research Unit(s)

City University of Hong Kong

Detail(s)

Original language	English
Pages (from-to)	1744-1749
Journal / Publication	Proceedings of the IEEE International Conference on Systems, Man and Cybernetics
Volume	2
Publication status	Published - 1998

Conference

Title	1998 IEEE International Conference on Systems, Man, and Cybernetics
Place	United States
City	San Diego, CA
Period	11 - 14 October 1998

Link(s)

DOI	DOI https://doi.org/10.1109/ICSMC.1998.728146 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-0032320852&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(3c76bb96-8d55-423b-adff-2b82fc839fdf).html

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.

Citation Format(s)

[ RIS ] [ BibTeX ]

Time series prediction using Lyapunov exponents in embedding phase space. / Zhang, J.; Man, K. F.; Ke, J. Y.
In: Proceedings of the IEEE International Conference on Systems, Man and Cybernetics, Vol. 2, 1998, p. 1744-1749.

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

Zhang, J, Man, KF & Ke, JY 1998, 'Time series prediction using Lyapunov exponents in embedding phase space', Proceedings of the IEEE International Conference on Systems, Man and Cybernetics, vol. 2, pp. 1744-1749. https://doi.org/10.1109/ICSMC.1998.728146

Zhang, J., Man, K. F., & Ke, J. Y. (1998). Time series prediction using Lyapunov exponents in embedding phase space. Proceedings of the IEEE International Conference on Systems, Man and Cybernetics, 2, 1744-1749. https://doi.org/10.1109/ICSMC.1998.728146

Zhang J, Man KF, Ke JY. Time series prediction using Lyapunov exponents in embedding phase space. Proceedings of the IEEE International Conference on Systems, Man and Cybernetics. 1998;2:1744-1749. doi: 10.1109/ICSMC.1998.728146

Zhang, J. ; Man, K. F. ; Ke, J. Y. / Time series prediction using Lyapunov exponents in embedding phase space. In: Proceedings of the IEEE International Conference on Systems, Man and Cybernetics. 1998 ; Vol. 2. pp. 1744-1749.