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.
Year of publication: |
2004
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Authors: | Wolff, Rodney ; Yao, Qiwei ; Tong, Howell |
Published in: |
Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 8.2004, 2
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Publisher: |
De Gruyter |
Saved in:
Online Resource
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