| bibtype |
J -
Journal Article
|
| ARLID |
0333552 |
| utime |
20240111140730.3 |
| mtime |
20100108235959.9 |
| title
(primary) (eng) |
Classical and modified rescaled range analysis: Sampling properties under heavy tails |
| specification |
| page_count |
17 s. |
| media_type |
www |
|
| serial |
| title
|
IES Wokring Papers |
| volume_id |
2009 |
| volume |
29 (2009) |
| page_num |
1-17 |
|
| title
(cze) |
Klasická a modifikovaná analýza přeškálovaných rozsahů: Chovaní pod težkymi chvosty |
| keyword |
rescaled range |
| keyword |
modified rescaled range |
| keyword |
Hurst exponent |
| keyword |
long-range dependence |
| keyword |
confidence intervals |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values and confidence intervals enables us to use both methods together to clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process. |
| reportyear |
2010 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0178502 |
| arlyear |
2009 |
| mrcbU56 |
pdf |
| mrcbU63 |
IES Wokring Papers Roč. 2009 č. 29 2009 1 17 |
|