Statistical estimation of the Embedding Dimension of a dynamical system
Dominique Guegan
- Fonction : Auteur
- PersonId : 18037
- IdHAL : dominique-guegan
- ORCID : 0000-0003-4214-1429
- IdRef : 026905809
Résumé
We consider a dynamical ergodic system defined as:
Xt=ù(Xt-1,..., Xt-m0)
where m0 is supposed to be unknown. X1,..., Xn being observed, we construct and study an estimate of m0 based on X1,..., XN, using the fact that m0 is a breaking point for the regularity of the distribution of (Xt-1,..., Xt-m0), m=1, 2,.... We present some simulations to illustrate our method and we discuss the computing problems.
Xt=ù(Xt-1,..., Xt-m0)
where m0 is supposed to be unknown. X1,..., Xn being observed, we construct and study an estimate of m0 based on X1,..., XN, using the fact that m0 is a breaking point for the regularity of the distribution of (Xt-1,..., Xt-m0), m=1, 2,.... We present some simulations to illustrate our method and we discuss the computing problems.
Domaines
Economies et finances Probabilités [math.PR] Statistiques [math.ST] Systèmes dynamiques [math.DS]| Format du dépôt | Notice |
|---|---|
| Type de dépôt | Article dans une revue |
| Titre |
en
Statistical estimation of the Embedding Dimension of a dynamical system
|
| Résumé |
en
We consider a dynamical ergodic system defined as:<br />Xt=ù(Xt-1,..., Xt-m0)<br />where m0 is supposed to be unknown. X1,..., Xn being observed, we construct and study an estimate of m0 based on X1,..., XN, using the fact that m0 is a breaking point for the regularity of the distribution of (Xt-1,..., Xt-m0), m=1, 2,.... We present some simulations to illustrate our method and we discuss the computing problems.
|
| Auteur(s) |
D. Boscq
1
, Dominique Guegan
2
, Guillaume Léorat
3
1
ISUP -
Institut de Statistique de Sorbonne Université
( 49917 )
- Sorbonne Université
4 place Jussieu
75005 Paris
- France
2
CREST -
Centre de Recherche en Économie et Statistique
( 2579 )
- 5, Avenue Henry Le Chatelier
91120 Palaiseau
- France
3
SLP Infoware
( 49918 )
- Nanterre
- France
|
| Comité de lecture |
Oui
|
| Vulgarisation |
Non
|
| Langue du document |
Anglais
|
| Nom de la revue |
|
| Audience |
Internationale
|
| Date de publication |
1999-04
|
| Volume |
9
|
| Numéro |
4
|
| Page/Identifiant |
645 - 656
|
| Domaine(s) |
|
| Mots-clés |
en
Embedding Dimension, dynamical system
|
| DOI | 10.1142/S0218127499000456 |
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