Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167
In order to develop statistical tests for the Lyapunov exponents of deter-ministic 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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|Item Type:||Working Paper|
|Additional Information:||This paper was later published as: Rodney Wolff, Qiwei Yao, and Howell Tong (2004) "Statistical Tests for Lyapunov Exponents of Deterministic Systems", Studies in Nonlinear Dynamics & Econometrics: Vol. 8: No. 2, Article 10. : See eprint version of published paper(use link below).|
|Keywords:||Bootstrap, chaos, empirical likelihood, expectile, percentile|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Deposited On:||04 Jan 2007|
|Last Modified:||05 Jan 2011 23:23|
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