Statistical Tests for Lyapunov Exponents of Deterministic Systems

Wolff Rodney (), Yao Qiwei () and Howell Tong
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Wolff Rodney: Queensland University of Technology
Yao Qiwei: The London School of Economics and Political Science, United Kingdom

Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 2, 19

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.

Date: 2004
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DOI: 10.2202/1558-3708.1214

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