Economics Commons^™

The Limiting Behavior Of Kernel Estimates Of The Lyapunov Exponent For Stochastic Time Series, Yoon-Jae Whang, Oliver B. Linton

Cowles Foundation Discussion Papers

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.