Time series prediction using Lyapunov exponents in embedding phase space

Abstract

In this paper, a multidimension chaotic time series prediction method using Lyapunov exponents in phase space is proposed. The method is based on the fundamental characteristic of chaotic behaviour that sensitive dependence upon initial conditions (SDUIC) and Lyapunov exponents are the measure of the SDUIC in a chaotic system. The fundamental characteristic of chaotic time series is analyzed, the proposal method is deduced. Numerical experimental results show that the proposed method is simple, practical and effective.