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Statistical tests for Lyapunov exponents of deterministic systems

Wolff, Rodney C., Yao, Qiwei and Tong, Howell (2004) Statistical tests for Lyapunov exponents of deterministic systems. Studies in Nonlinear Dynamics and Econometrics, 8 (2). pp. 174-193. ISSN 1081-1826

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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: http://www.bepress.com/snde/
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.
Library of Congress subject classification: H Social Sciences > HB Economic Theory
H Social Sciences > HA Statistics
Sets: Collections > Economists Online
Departments > Statistics
Research centres and groups > Computational, Discrete and Applicable Mathematics@LSE (CDAM)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Funders: Engineering and Physical Sciences Research Council, Research Grant Council of Hong Kong
Date Deposited: 22 Dec 2005
URL: http://eprints.lse.ac.uk/154/

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