Re: [Gretl-users] Lyapunov Exponent
Thank you Sven! I thought maybe there is something included already since
there is also a Hurst exponent estimation.
PG
*Periklis Gogas
<http://www.econ.duth.gr/personel/dep/gkogkas/index.en.shtml>*
Associate Professor
of Economic Analysis and International Economics
Department of Economics, Democritus University of Thrace
Associate Editor - Journal of Economic Asymmetries
<https://www.journals.elsevier.com/the-journal-of-economic-asymmetries/>
Euro Area Business Cycle Network - Fellow
<http://www.eabcn.org/person/periklis-gogas>
The Rimini Centre for Economic Analysis - Fellow
<http://www.rcfea.org/component/option,com_frontpage/Itemid,1/>
The Society for Economic Measurement - Member
<http://sem.society.cmu.edu/home.html>
Institute for Nonlinear Dynamical Inference (INDI) - Charter Fellow
<http://icemr.ru/institute-for-nonlinear-dynamical-inference/>
On Thu, Feb 8, 2018 at 4:02 PM, Sven Schreiber <svetosch(a)gmx.net> wrote:
Am 08.02.2018 um 13:26 schrieb Periklis Gogas:
> Hello all,
>
> Is it possible to calculate the maximum Lyapunov exponent with Gretl and
> the relevant p-values?
>
Hi, not that I'm aware of.
I found a C-program here:
https://www.pks.mpg.de/~tisean/TISEAN_2.1/source_c/lyap_k.c
(Note: "If you want to include any of the programs in a commercial or
noncommercial distribution, you must first obtain the written consent of
the copyright owner." - https://www.pks.mpg.de/~tisean
/TISEAN_2.1/index.html; but using it as a basis of a port would be
something different, it's like reading a scientific paper.)
(BTW, I'm not related to that T.Schreiber who's a coauthor of the Tisean
software.)
cheers,
sven
_______________________________________________
Gretl-users mailing list
Gretl-users(a)lists.wfu.edu
http://lists.wfu.edu/mailman/listinfo/gretl-users
Attachments:
- attachment.html (text/html — 3.5 KB)