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...

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...

The bispectrum and third-order moment can be viewed as equivalent tools for testing for the presence of non-linearity in stationary time series. This is because the bispectrum is the Fourier transform of the third order moment. An advantage of the bispectrum is that its estimator comprises terms...

In this paper, we consider additive stochastic nonparametric regression models. By approximating the nonparametric components by a class of orthogonal series and using a generalized cross-validation criterion, an adaptive and simultaneous estimation procedure for the nonparametric components is...

Motivated by the problem of setting prediction intervals in time series analysis, we suggest two new methods for conditional distribution estimation. The first method is based on locally fitting a logistic model and is in the spirit of recent work on locally parametric techniques in density...