Forecasting chaotic systems: The role of local Lyapunov exponents

Dominique Guegan (1, 2) , Justin Leroux (3)

1 PSE - Paris School of Economics
2 CES - Centre d'économie de la Sorbonne
3 HEC Montréal - HEC Montréal

We propose a novel methodology for forecasting chaotic systems which is based on exploiting the information conveyed by the local Lyapunov exponents of a system. This information is used to correct for the inevitable bias of most non-parametric predictors. Using simulated data, we show that gains in prediction accuracy can be substantial.

Mots clés: chaotic systems

Domaines: Economies et finances

Dominique Guegan, Justin Leroux. Forecasting chaotic systems: The role of local Lyapunov exponents. Chaos, Solitons & Fractals, 2009, 41 (5), pp.2401-2404. ⟨10.1016/j.chaos.2008.09.017⟩. ⟨halshs-00431726v2⟩