| bibtype |
J -
Journal Article
|
| ARLID |
0349301 |
| utime |
20240103194105.2 |
| mtime |
20101116235959.9 |
| title
(primary) (eng) |
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0082431 |
| ISSN |
1802-4696 |
| title
|
AUCO Czech Economic Review |
| part_title |
Acta Universitatis Carolinae - OECONOMICA |
| volume |
3 (2010) |
| page_num |
236-250 |
|
| keyword |
rescaled range analysis |
| keyword |
detrended fluctuation analysis |
| keyword |
Hurst exponent |
| keyword |
long-range dependence |
| author
(primary) |
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| 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. |
|
| source |
|
| cas_special |
| project |
| project_id |
118310 |
| agency |
GA UK |
| country |
CZ |
| ARLID |
cav_un_auth*0274537 |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only seve- ral papers have dealt with the finite sample properties which are crucial as the properties differ significantly from the asymptotic ones. Recently, R/S analysis has been shown to overestimate H when compared to DFA. However, we show that even though the estimates of R/S are truly significantly higher than an asymptotic limit of 0.5, for random time series with lengths from 29 to 217, they remain very close to the estimates proposed by Anis & Lloyd and the estimated standard deviations are lower than the ones of DFA. On the other hand, DFA estimates are very close to 0.5. The results propose that R/S still remains useful and robust method even when compared to newer method of DFA which is usually preferred in recent literature. |
| reportyear |
2011 |
| RIV |
AH |
| num_of_auth |
1 |
| permalink |
http://hdl.handle.net/11104/0189575 |
| arlyear |
2010 |
| mrcbU63 |
cav_un_epca*0082431 AUCO Czech Economic Review Acta Universitatis Carolinae - OECONOMICA 1802-4696 4/2010 č. 3 2010 236 250 |
|