Moritz, Oliver - Center for Nonlinear Dynamics in Economics and Finance … - 2001
The NEGM (Nychka, Ellner, Gallant, MacCaffrey)-test for a positive largest Lyapunov-Exponent via neural nets (NN) led to new interest in testing economic time series for chaos. This is mainly due to two reasons: First, their different concept of chaos, admitting stochastic nonlinear systems to...