I'd like to estimate the predictability of a time series that is possibly chaotic. For this reason I thought that the Lyapunov exponents would be a good candidate. I've done some research on the Internet but the explanations that I've found are not enough (at least to me) to implement it in Java.
Do you know where I could get a detailed algorithm / pseudocode for the Lyapunov exponents estimation for time series? Alternatively, other measurements of time series predictability are welcome.
Thank you!
You can use Thomas S. Parker's and Leon Chua's book, Practical Numerical Algorithms for Chaotic Systems. It is a good practical book.