Linton, Oliver; Shintani, Mototsugu - Suntory and Toyota International Centres for Economics … - 2002
This paper derives the asymptotic distribution of nonparametric neural network estimator of the Lyapunov exponent in a noisy system proposed by Nychka et al (1992) and others. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce a statistical framework for...