Rodney Wolff (Queensland University of Technology) Qiwei Yao (The London School of Economics and Political Science, United Kingdom) Howell Tong (The London School of Economics, United Kingdom and Hong Kong University, Hong Kong)
Abstract
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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