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:	2003-12-20
Authors:	Wolff, Rodney ; Yao, Qiwei ; Tong, Howell
Institutions:	School of Economics and Finance, Business School
Subject:	Bootstrap \| chaos \| empirical likelihood \| expectile \| percentile

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Extent:	application/pdf
Series:	School of Economics and Finance Discussion Papers and Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 167
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005766365