QUT ePrints

Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167

Wolff, Rodney C., Yao, Qiwei, & Tong, Howell (2003) Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167. . [Working Paper] (Unpublished)

Warning

There is a more recent version of this eprint available. Click here to view it.

Abstract

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.

Impact and interest:

Citation countsare sourced monthly from Scopus and Web of Science® citation databases.

These databases contain citations from different subsets of available publications and different time periods and thus the citation count from each is usually different. Some works are not in either database and no count is displayed. Scopus includes citations from articles published in 1996 onwards, and Web of Science® generally from 1980 onwards.

Citations counts from the Google Scholar™ indexing service can be viewed at the linked Google Scholar™ search.

ID Code: 357
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

Available Versions of this Item

Export: EndNote | Dublin Core | BibTeX

Repository Staff Only: item control page