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Consistent estimation to determine the embedding dimension in financial data

Author

Listed:
  • Dominique Guegan

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique)

  • Guillaume Léorat

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 Guégan (1994) and we apply the results to real financial data.

Suggested Citation

  • Dominique Guegan & Guillaume Léorat, 1997. "Consistent estimation to determine the embedding dimension in financial data," Post-Print halshs-00194487, HAL.
    • Handle: RePEc:hal:journl:halshs-00194487
    DOI: 10.1080/135184797337453
    as

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