Estimating the largest Lyapunov exponent and noise level from chaotic time series.

A novel method for estimating simultaneously the largest Lyapunov exponent (LLE) and noise level (NL) from a noisy chaotic time series is presented in this paper. We research the influence of noise on the average distance of different pairs of points in an embedding phase space and provide a rescaled formula for calculating the LLE when the time series is contaminated with noise. Our algorithm is proposed based on this formula and the invariant of the LLE in different dimensional embedding phase spaces. With numerical simulation, we find that the proposed method provides a reasonable estimate of the LLE and NL when the NL is less than 10% of the signal content. The comparison with Kantz algorithm shows that our method gives more accurate results of the LLE for the noisy time series. Furthermore, our method is not sensitive to the distribution of the noise.

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