Linton, Oliver; Shintani, Mototsugu - Suntory and Toyota International Centres for Economics … - 2003
This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce a statistical framework for testing the chaotic hypothesis based on the...