Wolff, Rodney C., Yao, Qiwei 
ORCID: 0000-0003-2065-8486 and Tong, Howell
(2004)
Statistical tests for Lyapunov exponents of deterministic systems.
Studies in Nonlinear Dynamics and Econometrics, 8 (2).
174 - 193.
ISSN 1081-1826
|
PDF
Download (299kB) | Preview |
Abstract
In order to develop statistical tests for the Lyapunov exponents of deterministic dynamical systems, we develop bootstrap tests based on empirical likelihood for percentiles and expectiles of strictly stationary processes. The percentiles and expectiles are estimated in terms of asymmetric least deviations and asymmetric least squares methods. Asymptotic distributional properties of the estimators are established.
| Item Type: | Article |
|---|---|
| Official URL: | https://www.degruyter.com/journal/key/snde/html?la... |
| Additional Information: | Published © 2004 Berkeley Electronic Press. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website. |
| Divisions: | Statistics |
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HA Statistics |
| Date Deposited: | 22 Dec 2005 |
| Last Modified: | 01 Oct 2024 03:32 |
| Funders: | Engineering and Physical Sciences Research Council, Research Grant Council of Hong Kong |
| URI: | http://eprints.lse.ac.uk/id/eprint/154 |
Actions (login required)
 |
View Item |
Download Statistics
Download Statistics