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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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4 citations in Scopus
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1 citations in Web of Science®

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310 since deposited on 04 Jan 2007
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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

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