Correlation dimension and phase space contraction via extreme value theory

Abstract

This study uses the link between extreme value laws and dynamical systems theory to show that important dynamical quantities as the correlation dimension, the entropy and the Lyapunov exponents can be obtained by fitting observables computed along a trajectory of a chaotic systems. All this information is contained in a newly defined Dynamical Extreme Index. Besides being mathematically well defined, it is almost numerically effortless to get as i) it does not require the specification of any additional parameter (e.g. embedding dimension, decorrelation time); ii) it does not suffer from the so-called curse of dimensionality. A numerical code for its computation is provided.

References in corpus (1)

• Quantifying the dynamical complexity of time series

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