Statistical tests for Lyapunov exponents of deterministic systems

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.

MoreLess

Year of publication:	2004-06
Authors:	Wolff, Rodney C. ; Yao, Qiwei ; Tong, Howell
Institutions:	London School of Economics (LSE)
Subject:	bootstrap \| chaos \| empirical likelihood \| expectile \| percentile

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	LSE Research Online Documents on Economics.
Type of publication:	Book / Working Paper
Notes:	Published in Studies in Nonlinear Dynamics and Econometrics, June, 2004, 8(2), pp. 174-193. ISSN: 1081-1826
Classification:	J1 - Demographic Economics ; C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011126619