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|Title:||A simulation study on the chaotic SETAR (2;1,1) and the local Lyapunov exponent||Authors:||Lim, K.S.||Keywords:||Chaos
Local Lyapunov exponent
Self-exciting threshold autoregression
|Issue Date:||1999||Citation:||Lim, K.S. (1999). A simulation study on the chaotic SETAR (2;1,1) and the local Lyapunov exponent. Communications in Statistics Part B: Simulation and Computation 28 (1) : 147-163. ScholarBank@NUS Repository.||Abstract:||This paper uses the local Lyapunov exponent (Wolff (1992)) to show that the dynamics of a chaotic (with and without noise) SETAR(2;1,1) is similar to that of a noisy limit cycle generated from a SETAR(2;1,1). Copyright © 1999 by Marcel Dekker, Inc.||Source Title:||Communications in Statistics Part B: Simulation and Computation||URI:||http://scholarbank.nus.edu.sg/handle/10635/104975||ISSN:||03610918|
|Appears in Collections:||Staff Publications|
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