Showing 1 - 10 of 20
This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine … outliers and noisy chaos. In particular, we include some new simulations to investigate whether economic time series may be … characterized by low dimensional noisy chaos. …
Persistent link: https://www.econbiz.de/10010325181
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power against many nonlinear alternatives, and its asymptotic properties as a residual diagnostic are well understood. Furthermore, extensive Monte Carlo results have proved it useful...
Persistent link: https://www.econbiz.de/10014620800
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...
Persistent link: https://www.econbiz.de/10014620826
The preponderance of the linear approach in the stock market modeling is the result of the Frisch-Slutsky paradigm which implies that the market can only converge to an equilibrium point or diverge, according to a monotonic or oscillatory trajectory. Moreover, this description of reality is...
Persistent link: https://www.econbiz.de/10011156979
This research investigates the study of the concept of adaptation as a foundation to guide management in creating a planning and scheduling system. The review paper identifies theories that are being studied in relation to the process of adaptation using genetic algorithms as well as adaptive...
Persistent link: https://www.econbiz.de/10010817083
Interest has been growing in testing for nonlinearity or chaos in economic data, but much controversy has arisen about …-blind controlled competition among five highly regarded tests for nonlinearity or chaos with ten simulated data series. The data … for nonlinearity or noisy chaos. …
Persistent link: https://www.econbiz.de/10010900173
The BDS statistic has proved to be one of several useful nonlinear diagnostics. It has been shown to have good power against many nonlinear alternatives, and its asymptotic properties as a residual diagnostic are well understood. Furthermore, extensive Monte Carlo results have proved it useful...
Persistent link: https://www.econbiz.de/10004966187
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...
Persistent link: https://www.econbiz.de/10004966222
Chaos theories developed in the last three decades have made very important contributions to our understanding of … dynamical systems and natural phenomena. The meaning of chaos in the current theories and in the past is somewhat different from … of the views of ancient philosophers. The meaning of chaos in Anaximenes' philosophy and its role in the Ancient natural …
Persistent link: https://www.econbiz.de/10005082592
We provide a fast algorithm to calculate the m-dimensional distance histogram on which Brock, Dechert, and Sheinkman's (1987) BDS-type statistics are based. The algorithm generalizes a fast algorithm due to LeBaron by calculating the histogram for any finite set of distances simultaneously, and...
Persistent link: https://www.econbiz.de/10005584891