Statistical tests for Lyapunov exponents of deterministic systems

Rodney C. Wolff, Qiwei Yao and Howell Tong

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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.

Keywords: bootstrap; chaos; empirical likelihood; expectile; percentile (search for similar items in EconPapers)
JEL-codes: C1 J1 (search for similar items in EconPapers)
Date: 2004-06
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Citations: View citations in EconPapers (3)

Published in Studies in Nonlinear Dynamics and Econometrics, June, 2004, 8(2), pp. 174 - 193. ISSN: 1081-1826

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Related works:
Journal Article: Statistical Tests for Lyapunov Exponents of Deterministic Systems (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:154

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