Research on the Test of Chaotic Characteristics Based on the Asymptotic Distribution of Lyapunov Exponent: An Example of RMB Exchange Rate Series
Peng Li · Tongji yu xinxi luntan · 2011
To diagnose the chaotic characteristics of a dynamic system,one often examines whether the maximum exponent is greater than zero,while in order to obtain the sufficient evidence of the chaos,we need to process hypothesis test to determine whether the maximum exponent is significantly greater than zero.This paper gives a hypothesis test to determine whether the maximum exponent is greater than zero based on the asymptotic distribution of exponent,then the authors implement the empirical estimates by the RMB exchange rate series.