Gencay, Ramazan; Dechert, W. - In: Studies in Nonlinear Dynamics & Econometrics 1 (1996) 3, pp. 145-154
The method of reconstructing an n-dimensional system from observations is to form vectors of m consecutive observations, which for m 2n, is generically an embedding. This is Takens's result. The Jacobian methods for Lyapunov exponents utilize a function of m variables to model the data, and the...