Statistical Tests for Lyapunov Exponents of Deterministic Systems

DOI10.2202/1558-3708.1214MaRDI QIDQ3368341zbMATH OpenOpenAlexFDO

Authors Qiwei Yao, Howell Tong, R. C. 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

Bootstrapchaosempirical likelihoodexpectilepercentile

Mathematics Subject Classification ID

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

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• A statistical framework for testing chaotic dynamics via Lyapunov exponents
• Testing chaotic dynamics via Lyapunov exponents.
• High level chaos in the exchange and index markets
• Random walk or chaos: a formal test on the Lyapunov exponent
• TESTING CHAOTIC DYNAMICS IN SYSTEMS WITH TWO POSITIVE LYAPUNOV EXPONENTS: A BOOTSTRAP SOLUTION
• Goodness-of-fit tests for perturbed dynamical systems

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