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.

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Year of publication:	2007
Authors:	Wolff, Rodney ; Yao, Qiwei ; Tong, Howell
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 8.2007, 2, p. 1214-1214
Publisher:	Berkeley Electronic Press
Subject:	Bootstrap \| chaos \| empirical likelihood \| expectile \| percentile

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10004966165