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CHAOS AND NONLINEAR TIME SERIES

One of the key ideas of chaos theory is that non-stochastic systems can exhibit apparently rando m

( "chaotic") behavior. For example, consider the non-stochastic time series {x } deﬁned recursively by

t

x t

= (1+r ) x

t 1

rx

2

t 1

,

where r

is a positive constant. Equivalently, we have x = f (x

t

t 1

), where

f (x ) = (1+r ) x rx

2 This

.

choice of f

provides a simple example of a nonlinear function.

Similar results to those described her e

w ould be found if we took f

to be any polynomial of second degree or higher.

If x

0

is the initial

v alue, then x

1

= f (x

), x

02

= f (f (x )), and in general, x

0

n

= f

n

(x ), where f

0

n (x ) denotes the n ’th iterate

(not the n ’th power) of f .

A realization of {x } is completely determined by the values of x

t

0

and r .

t ively

Interestingly, it has been shown that the eventual qualitative behavior of {x } depends quite sensi -

t

on

r .

Some values of r produce very orderly and predictable realizations of {x }, while other

t

values yield chaotic and essentially unpredictable realizations. As r is increased steadily from zero, th e

b ehavior of {x } makes a fascinating transition from order into chaos, which we now describe.

t

First note that for any r > 0, since f (0) = 0 and f (1) = 1, a starting value of x

0

= 0 will yield x

f or all t , while x

0

= 1 will yield x

t

= 1 for all t . We say that 0 and 1 are ﬁxed points of f .

t

= 0

If x

0

is small and positive, then x

1

(1+r ) x

, and x

02

(1+r ) x

1

, etc., so that, at least for a while ,

t he values of {x } will move away from zero. Thus, the ﬁxed point at zero is unstable.

t

Next, we study the nature of the ﬁxed point at 1, i.e., we examine what happens to x

c lose to 1. If x

n

1, then

n +1

if x

n

i s

x

n +1

= f (x

n

)

f (1) + (x 1) f (1

n

)

1 + (x

n

1) (1r ) .

If we deﬁne δ

n

= x 1 and δ

nn

is small, then the calculation above shows that δ

n +1

δ (1r ).

n

q uently,

if

0 < r < 2,

δ

n +1

will be smaller in magnitude than δ

n

so the sequence x

, x

nn +1

,

Conse -

will

a pproach 1, i.e., the ﬁxed point at x = 1 is stable. We have thus shown that if 0 < r < 2 and we pick any

starting value between 0 and 1, the series {x } will eventually tend to 1.

t

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If r > 2, however, the magnitude of the deviations δ

n

will increase, so the ﬁxed point at x = 1 is

now unstable. The typical eventual behavior for {x } when r is slightly greater than 2 is a periodi c

t

o scillation between two values. These values are ﬁxed points of f

2 (x ) = f (f (x )). It can be shown that

t hese ﬁxed points are stable as long as r < 6 = 2.449. When r = 2.5, we get an eventual oscillation of

period 4.

For somewhat larger values of r , we get oscillations of period 8, then 16, etc. Period dou -

b lings occur at ever more closely spaced values of r .

By the time we reach r = 2.570, chaos has set in. Realizations of {x } are not periodic. There is

t

no way to predict the future value without actually constructing the iterates of f . Furthermore, if ther e

i s any uncertainty whatsoever (even an inﬁnitesimal round-off error) in x , then the future values

t

become less and less predictable, even though the process is not random and f

is known! This i s

b ecause any error in x

t is magniﬁed by the iteration of f , until eventually the future value is dominated

b y the error. This phenomenon is called sensitive dependence on initial conditions (or the butterﬂy

effect), and is a hallmark of chaos.

The bifurcation diagram (attached) shows the eventual behavior of realizations of {x } as a

t

function of r . The diagram shows the period doubling described above, as well as a variety of othe r

f eatures. It can be seen that, as r is increased still further beyond 2.570, periodic behavior eventually

re-emerges from the chaos. For example, at r = 2.8284, a stable period 3 oscillation appears. This dou -

b les to 6 , 12 , 24 ,

and then dissolves back into chaos at r = 2.8495. This region, blown up in the

lower left corner of the diagram, seems remarkably similar to (but not identical to) the original diagram.

Chaos vs Nonlinear Time Series

It is intriguing that nonrandom systems can behave chaotically. Some take this to mean that th e

b est way to model a real time series is by means of deterministic chaos, instead of considering the

series as a stochastic process. The apparent advantage of the chaos approach is that, if the map f ( . ) can

b e found, then the system will be completely understood. This does not mean, however, that we can

necessarily do a good job of long-range forecasting, even if the series was indeed generated by deter -

m inistic chaos with known f . The problem arises from the sensitive dependence on initial conditions. If

there is any uncertainty whatsoever about the current value of the time series, then this uncertainty will

-3-

grow exponentially with time (see previous section), so that values of x

t in the distant future will

remain essentially unpredictable.

Furthermore, there is almost always at least some uncertainty abou t

t he current state. (Think of forecasting the weather. Even though we have fairly precise measurements

of the current conditions and we understand the physical laws governing the weather, it is impossible to

a ccurately forecast more than a few days ahead.) In fact, because of quantum mechanics, it is typically

impossible to measure things with absolute precision. Chaos magniﬁes these inﬁnitesimal uncertaintie s

a bout the current state into very substantial uncertainties about the distant future.

If we would prefer to directly model a time series as a stochastic process, we can simply intro -

d uce a stochastic term into the mechanism which generated the chaos. For example, if we introduce an

additive innovation, so that x = f (x

t

t 1

) + e , where {e } is Gaussian white noise, then we obtain Tong’s

t

t

nonlinear AR (1) model.

On the other hand, we might want to introduce the innovation in a multiplica -

t ive fashion. For example, if we deﬁne x = f (x

t

t 1

)e

t

with f (x ) = √

2

ω+αx , we obtain the ARCH (1)

m odel.

It is clear, then, that there are close connections between deterministic chaos and stochastic

nonlinear time series analysis.