Statistical tests for Lyapunov exponents of deterministic systems
Wolff, Rodney C., Yao, Qiwei, & Tong, Howell (2004) Statistical tests for Lyapunov exponents of deterministic systems. Studies in Nonlinear Dynamics and Econometrics, 8(2).
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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.
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| ID Code: | 5937 |
|---|---|
| Item Type: | Journal Article |
| Additional URLs: | |
| Keywords: | Bootstrap, chaos, empirical likelihood, expectile, percentile |
| ISSN: | 1081-1826 |
| Subjects: | Australian and New Zealand Standard Research Classification > PHYSICAL SCIENCES (020000) > CLASSICAL PHYSICS (020300) Australian and New Zealand Standard Research Classification > MATHEMATICAL SCIENCES (010000) > STATISTICS (010400) Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) |
| Divisions: | Current > QUT Faculties and Divisions > QUT Business School |
| Copyright Owner: | Copyright 2004 Berkeley Electronic Press |
| Copyright Statement: | Reproduced in accordance with the copyright policy of the publisher. |
| Deposited On: | 04 Jan 2007 |
| Last Modified: | 29 Feb 2012 23:09 |
Available Versions of this Item
- Statistical Tests for Lyapunov Exponents of Deterministic Systems. Discussion paper No 167. (deposited 04 Jan 2007)
- Statistical tests for Lyapunov exponents of deterministic systems. (deposited 04 Jan 2007)[Currently Displayed]
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