Data-driven local Lyapunov exponent

Return the simulated local Lyapunov exponent.

lle(data, h = 0.05, m = 1L, lag = seq(0, 1, by = 0.05))

Arguments

data

a numeric vector.

h

a numeric number for local Lyapunov exponent.

m

a numeric number of target time lag.

lag

a numeric vector of bins for discrete values.

Value

a numeric vector of local Lyapunov exponent with dimension (n - m).

See also

Other Yasuyuki Takayanagi: archdata(), ardata(), cosdata(), expardata(), garchdata(), ldata(), lleplot(), lndata()

Examples

data <- ldata(0.1, 4, 400)
#lag <- seq(0,1,by=0.0005)  #Logistic
#lag <- seq(-2.5,2.5,by=0.001)  #Normal
lle(data)
#>  [1]  1.3422911  1.3021949  1.1711462  1.0512607  0.8891373  0.6810889
#>  [7]  0.4298956  0.1522174 -0.2370588 -0.9887710 -1.8555139 -1.1553906
#> [13] -0.2748610  0.2419297  0.4273422  0.7190067  0.8840500  1.0616288
#> [19]  1.1771723  1.3017426  1.3435539