关键词: 多变量时间序列, 噪声, 信噪比, Lyapunov指数, 混沌

Abstract: On the basis of the work of Rosenstein et al，an improved algorithm is proposed to calculate the largest Lyapunov exponent from multivariate chaotic time series.This paper demonstrates the performance for various examples using data from Ikeda map，Henon map，Lorenz map and Chen map，which are contaminated with noise.The multivariate time series are produced by a superposition of Gauss white noise generated by random number and noise-free data in this paper，and also analyzes effects of different noise levels to the largest Lyapunov exponent.The conclusion implies that the effects of noise are not obvious when SNR is in given scope.

Key words: multivariate time series, noise, Signal-to-Noise Ratio（SNR）, Lyapunov exponent, chaos