| bibtype |
J -
Journal Article
|
| ARLID |
0343525 |
| utime |
20240111140740.2 |
| mtime |
20100830235959.9 |
| WOS |
000280385600015 |
| SCOPUS |
77955303263 |
| DOI |
10.1016/j.physa.2010.05.025 |
| title
(primary) (eng) |
On Hurst exponent estimation under heavy-tailed distributions |
| specification |
| page_count |
20 s. |
| media_type |
www |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
389 |
| volume |
18 (2010) |
| page_num |
3844-3855 |
| publisher |
|
|
| keyword |
high frequency data analysis |
| keyword |
heavy tails |
| keyword |
Hurst exponent |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| 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 |
118310 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0274537 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| project |
| project_id |
46108 |
| agency |
GA UK |
| country |
CZ |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
In this paper, we show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range anal- ysis (R/S), multifractal detrended fluctuation analysis (MF − DFA), detrending moving average (DMA) and generalized Hurst exponent ap- proach (GHE) estimate Hurst exponent on independent series with dif- ferent heavy tails. For this purpose, we generate independent random series from stable distribution with stability exponent α changing from 1.1 (heaviest tails) to 2 (Gaussian normal distribution) and we estimate Hurst exponent using the different methods. R/S and GHE prove to be robust to heavy tails in the underlying process. GHE provides the low- est variance and bias in comparison to the other methods regardless the presence of heavy tails in data and sample size. |
| reportyear |
2011 |
| RIV |
AH |
| mrcbC52 |
4 A 4a 20231122134044.8 |
| permalink |
http://hdl.handle.net/11104/0185985 |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
| mrcbT16-f |
1.467 |
| mrcbT16-g |
0.382 |
| mrcbT16-h |
6.7 |
| mrcbT16-i |
0.0383 |
| mrcbT16-j |
0.52 |
| mrcbT16-k |
13244 |
| mrcbT16-l |
617 |
| mrcbT16-q |
87 |
| mrcbT16-s |
0.881 |
| mrcbT16-y |
31.56 |
| mrcbT16-x |
1.74 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
45.662 |
| mrcbT16-C |
66.875 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q2 |
| arlyear |
2010 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0343525.pdf |
| mrcbU14 |
77955303263 SCOPUS |
| mrcbU34 |
000280385600015 WOS |
| mrcbU56 |
pdf |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 389 č. 18 2010 3844 3855 Elsevier |
|