Statistical Tests for Lyapunov Exponents of Deterministic Systems

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.

Recommended Citation

Rodney Wolff, Qiwei Yao, and Howell Tong (2004) "Statistical Tests for Lyapunov Exponents of Deterministic Systems", Studies in Nonlinear Dynamics & Econometrics: Vol. 8: No. 2, Article 10.
http://www.bepress.com/snde/vol8/iss2/art10

Related Files

Wolff_datacode.zip (4 kB)
Data and code

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