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.
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- Jianqing Fan & Qiwei Yao & Howell Tong, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
- 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.
- Yoon-Jae Whang & Oliver Linton, 1997. "The Asymptotic Distribution of Nonparametric Estimates of the Lyapunov Exponent for Stochastic Time Series," Cowles Foundation Discussion Papers 1130R, Cowles Foundation for Research in Economics, Yale University.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
- 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.
- Pollard, David, 1991. "Asymptotics for Least Absolute Deviation Regression Estimators," Econometric Theory, Cambridge University Press, vol. 7(02), pages 186-199, June. Full references (including those not matched with items on IDEAS)