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Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate

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  • Dominique Guegan
  • Guillaume Leorat

Abstract

To detect chaos on observational data, we first need to know the embedding dimension. We propose a consistent approach to estimate this dimension using the theoretical work of Bosq and Guegan (1994) and we apply the results to real financial data.

Suggested Citation

  • Dominique Guegan & Guillaume Leorat, 1997. "Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 231-242.
    • Handle: RePEc:taf:eurjfi:v:3:y:1997:i:3:p:231-242
    DOI: 10.1080/135184797337453
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    References listed on IDEAS

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    1. Brock, W.A. & Dechert, W.D., 1988. "Theorems On Distinguishing Deterministic Form Random Systems," Working papers 366, Wisconsin Madison - Social Systems.
    2. Brock, W. A., 1985. "Distinguishing Random And Deterministic Systems," SSRI Workshop Series 292598, University of Wisconsin-Madison, Social Systems Research Institute.
    3. Bosq, D. & Guégan, D., 1995. "Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system," Statistics & Probability Letters, Elsevier, vol. 25(3), pages 201-212, November.
    4. D. Bosq & Dominique Guegan, 1995. "Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system," Post-Print halshs-00199345, HAL.
    Full references (including those not matched with items on IDEAS)

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