Time series prediction using Lyapunov exponents in embedding phase space

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

5 Scopus Citations
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Original languageEnglish
Pages (from-to)1744-1749
Journal / PublicationProceedings of the IEEE International Conference on Systems, Man and Cybernetics
Volume2
Publication statusPublished - 1998

Conference

Title1998 IEEE International Conference on Systems, Man, and Cybernetics
PlaceUnited States
CitySan Diego, CA
Period11 - 14 October 1998

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.