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Statistical Tests for Lyapunov Exponents of Deterministic Systems - MaRDI portal

Statistical Tests for Lyapunov Exponents of Deterministic Systems

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DOI10.2202/1558-3708.1214zbMath1082.62517OpenAlexW3125839960MaRDI QIDQ3368341

Qiwei Yao, Howell Tong, Rodney Carl Wolff

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1214

zbMATH Keywords

chaos percentile Bootstrap empirical likelihood expectile

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

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High level chaos in the exchange and index markets ⋮ Random walk or chaos: a formal test on the Lyapunov exponent

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