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Chaos test

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Chaos test


Ahmed BenSaïda (view profile)


13 Jan 2009 (Updated )

A test for chaotic dynamics of a noisy time series based on the Lyapunov exponent.

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This test performs the test for chaotic dynamics of a noisy time series based on the Lyapunov exponent. The input is a vector of observed time series which can be stochastic or chaotic, usually time series has noise, so this code tests the positivity of the Lyapunov exponent based on a neural net approximation of the hidden chaotic map. This test computes the Lyapunov exponent using the Jacobian method without any need to specify an ODE or a suspected map giving only a vector of observation.
For a detailed information see my paper:

Required Products Optimization Toolbox
Statistics and Machine Learning Toolbox
MATLAB release MATLAB 8.0 (R2012b)
MATLAB Search Path
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17 Feb 2009 1.1

Added some detailed information in file description.

18 Mar 2013 1.2

Change the default activation function to hyperbolic tangent, since the logistic function is not suited for Noisy time series. Moreover, make the code compatible with the latest version of MATLAB.

29 Apr 2013 1.3

Minor improvements.

27 Jan 2014 1.4

Change the links.

08 Sep 2014 1.5

Remove the need to garch or economic toolbox.

23 Sep 2014 1.6

Minor bug fix.

24 Sep 2014 1.7

Now the test is in a single m-file.

11 Apr 2015 1.8

Update error reporting.

15 Jun 2015 5.0

Improve data handling to avoid eigenvalues of infinity.

12 Sep 2015 5.0

Updated description.

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