Fascinating Time Series with Cool Applications
Here we describe well-known chaotic sequences, including new generalizations, with application to random number generation, highly non-linear auto-regressive models for times series, simulation, random permutations, and the use of big numbers (libraries available in programming languages to work with numbers with hundreds of decimals) as standard computer precision almost always produces completely erroneous results after a few iterations — a fact rarely if ever mentioned in the scientific literature, but illustrated here, together with a solution. It is possible that all scientists who published on chaotic processes, used faulty numbers because of this issue.
This article is accessible to non-experts, even though we solve a special stochastic equation for the first time, providing an unexpected exact solution, for a new chaotic process that generalizes the logistic map. We also describe a general framework for continuous random number generators, and investigate the interesting auto-correlation structure associated with some of these sequences. References are provided, as well as fast source code to process big numbers accurately, and even an elegant mathematical proof in the last section.
This article is also a useful read for participants in our upcoming competition (to be announced soon) as it addresses a similar stochastic integral equation problem, also with exact solution, in the related context of self-correcting random walks – another kind of memory-less process.
The approach used here starts with traditional data science and simulations for exploratory analysis, with empirical results confirmed later by mathematical arguments in the last section.