This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Statistical tests for Lyapunov exponents of deterministic systems

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Rodney C Wolff
Qiwei Yao
Howell Tong (School of Economics and Finance, Queensland University of Technology)
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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://eprints.qut.edu.au/archive/00005937/01/5937_2.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by School of Economics and Finance, Queensland University of Technology in its series Rodney Wolff Papers with number 2006-8.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 15 Jun 2006
Date of revision:
Handle: RePEc:qut:rwolff:2006-8

Contact details of provider:
Postal: GPO Box 2434, BRISBANE QLD 4001
Email:
Web page: http://www.bus.qut.edu.au/faculty/schools/economics/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (School of Economics).

Related research
Keywords: Bootstrap; chaos; empirical likelihood; expectile; percentile;

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July. [Downloadable!] (restricted)
  2. Oliver Linton & Mototsugu Shintani, 2003. "Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos," STICERD - Econometrics Paper Series /2003/455, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  3. Rodney C Wolff & Peter Hall, 2006. "Properties of invariant distributions and Lyapunov exponents for chaotic logistic maps," Rodney Wolff Papers 2006-13, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  4. P. Hall & B. Presnell, 1999. "Intentionally biased bootstrap methods," Journal Of The Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 143-158. [Downloadable!] (restricted)
  5. Whang, Yoon-Jae & Linton, Oliver, 1999. "The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series," Journal of Econometrics, Elsevier, vol. 91(1), pages 1-42, July. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? About 2700 working paper series are listed on RePEc.

This page was last updated on 2009-11-27.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.