Some Theory of Statistical Inference for Nonlinear Science

DOI10.2307/2297828MaRDI QIDQ3974260zbMATH OpenOpenAlexFDO

Authors William A. Brock, Ehung G. Baek

Publication date 25 June 1992

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/8d16f6cb9763656138a86b2c34143edaf0f13b6f

zbMATH Keywords

hypothesis testing\(U\)-statisticsinstabilitycentral limit theoremschaos theorymixing processesasymptotic standard errorsnonlinear sciencecorrelation dimension measuresdimension measuresformal hypothesis testingKolmogorov entropy estimatesmeasure of instabilitynuisance parameter problemsnumber of excited degrees of freedomrate of information creationreturns on weekly stock market indicesstatistical inference theoryweakly dependent stochastic processes

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82) Central limit and other weak theorems (60F05)

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Cited in

(1)

• Nonlinearity and Endogeneity in Macro-Asset Pricing

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