| bibtype |
J -
Journal Article
|
| ARLID |
0381822 |
| utime |
20240103201341.2 |
| mtime |
20121030235959.9 |
| WOS |
000305302600006 |
| DOI |
10.1016/j.physa.2012.04.005 |
| title
(primary) (eng) |
How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study |
| specification |
|
| serial |
| ARLID |
cav_un_epca*0257423 |
| ISSN |
0378-4371 |
| title
|
Physica. A : Statistical Mechanics and its Applications |
| volume_id |
391 |
| volume |
17 (2012) |
| page_num |
4252-4260 |
| publisher |
|
|
| keyword |
Rescaled range analysis |
| keyword |
Modified rescaled range analysis |
| keyword |
Hurst exponent |
| keyword |
Long-term memory |
| keyword |
Short-term memory |
| 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 |
261 501 |
| agency |
SVV |
| country |
CZ |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| abstract
(eng) |
In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-range correlation detection — classical and modified rescaled range analyses. A focus is put on an effect of different distributional properties on an ability of the methods to efficiently distinguish between short-term memory and long-term memory. To do so, we analyze the behavior of the estimators for independent, short-range dependent, and long-range dependent processes with innovations from eight different distributions. We find that apart from a combination of very high levels of kurtosis and skewness, both estimators are quite robust to distributional properties. Importantly, we show that R/S is biased upwards (yet not strongly) for short-range dependent processes, while M-R/S is strongly biased downwards for long-range dependent processes regardless of the distribution of innovations. |
| reportyear |
2013 |
| RIV |
AH |
| num_of_auth |
1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0212203 |
| mrcbT16-e |
PHYSICSMULTIDISCIPLINARY |
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1.651 |
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0.51 |
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7.7 |
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0.0279 |
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0.475 |
| mrcbT16-k |
15376 |
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674 |
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87 |
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0.677 |
| mrcbT16-y |
34.67 |
| mrcbT16-x |
1.76 |
| mrcbT16-4 |
Q2 |
| mrcbT16-B |
44.7 |
| mrcbT16-C |
66.867 |
| mrcbT16-D |
Q3 |
| mrcbT16-E |
Q3 |
| arlyear |
2012 |
| mrcbU34 |
000305302600006 WOS |
| mrcbU63 |
cav_un_epca*0257423 Physica. A : Statistical Mechanics and its Applications 0378-4371 1873-2119 Roč. 391 č. 17 2012 4252 4260 Elsevier |
|