pastas.stats.signatures.lyapunov_exponent

lyapunov_exponent(series)

The exponential rate of divergence of nearby data points [hilborn_1994].

Notes

The exponential rate of divergence of nearby data points when moving away in time from a certain data point in the series. Iteratively estimated for every point in the time series, then averaged.

References

hilborn_1994

Hilborn, R. C. (1994). Chaos and Nonlinear Dynamics: An Introduction for Scientists and Engineers. New York: Oxford University Press.