Document Type
Discussion Paper
Publication Date
8-1-1996
CFDP Number
1130R
CFDP Revision Date
1997-10-01
CFDP Pages
47
Abstract
This paper derives the asymptotic distribution of a smoothing-based estimator of the Lyapunov exponent for a stochastic time series under two general scenarios. In the first case, we are able to establish root-T consistency and asymptotic normality, while in the second case, which is more relevant for chaotic processes, we are only able to establish asymptotic normality at a slower rate of convergence. We provide consistent confidence intervals for both cases. We apply our procedures to simulated data.
Recommended Citation
Whang, Yoon-Jae and Linton, Oliver B., "The Limiting Behavior of Kernel Estimates of the Lyapunov Exponent for Stochastic Time Series" (1996). Cowles Foundation Discussion Papers. 1376.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1376