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Statistical tests for Lyapunov exponents of deterministic systems

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

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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.

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Divisions: Statistics
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Date Deposited: 22 Dec 2005
Last Modified: 04 Jan 2024 01:06
Funders: Engineering and Physical Sciences Research Council, Research Grant Council of Hong Kong

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