Adaptive calculation of dynamic discrete time series parameters based on phase-space reconstruction
Xinguo Zhang · Journal of Lanzhou University · 2008
This paper presents a method for calculating and automatically determining the optimal embed- ding dimension of the reconstructed phase-space of a dynamic discrete time series.Thus it will be possible to automatically analyze the dynamic discrete time series whose data varies continually.We discuss the prob- lem that the calculation of the largest Lyapunov exponent,using the Wolf algorithm,may be accidentally interrupted by the trace trajectory that reaches the end of the phase-space.The presented method in this paper is confirmed feasible by using the time series proof-prediction based on the largest Lyapunov exponent. Finally,a further discussion shows that the presented method for the real-time analysis of the short-time stable Shanghai Composite Index is positive.