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I have a pretty long time series (4000 data points).

How can I calculate the Correlation dimension and/or Lyapunov exponent for such data?

Please also advise on how to import the data as well.

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What is the format of the data? Depending on the sort of file it is in you can often simply define datain=Import["/yourdirectory/yourfile.dat"] but you should look at the options for Import which may help. – Jonathan Shock May 28 '13 at 10:29
It will be also helpful if you supply us some example data to play with. You can upload your data somewhere. – PlatoManiac May 28 '13 at 10:30
I fail to see down-voter's reasoning. – Sasha May 28 '13 at 13:55

Appendix 1 of Mario Martelli's Introduction to Discrete Dynamical Systems and Chaos contains sample Mathematica code (pages 290-296) which should help you (free, click 'Get PDF')

Also, the Wolfram Library Archive contains sample code in Testing Chaos and Fractal Properties in Economic Time Series computes these quantities for 1,000 data points.

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