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Description
| - 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.
- 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. (en)
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Title
| - How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
- How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study (en)
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skos:prefLabel
| - How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
- How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study (en)
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skos:notation
| - RIV/00216208:11230/12:10124461!RIV13-GA0-11230___
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http://linked.open...avai/riv/aktivita
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http://linked.open...avai/riv/aktivity
| - I, P(GA402/09/0965), P(GAP402/11/0948), S
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http://linked.open...iv/cisloPeriodika
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http://linked.open...vai/riv/dodaniDat
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http://linked.open...aciTvurceVysledku
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http://linked.open.../riv/druhVysledku
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http://linked.open...iv/duvernostUdaju
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http://linked.open...titaPredkladatele
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http://linked.open...dnocenehoVysledku
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http://linked.open...ai/riv/idVysledku
| - RIV/00216208:11230/12:10124461
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http://linked.open...riv/jazykVysledku
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http://linked.open.../riv/klicovaSlova
| - Short-term memory; Long-term memory; Hurst exponent; Modified rescaled range analysis; Rescaled range analysis (en)
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http://linked.open.../riv/klicoveSlovo
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http://linked.open...odStatuVydavatele
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http://linked.open...ontrolniKodProRIV
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http://linked.open...i/riv/nazevZdroje
| - Physica A: Statistical Mechanics and its Applications
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http://linked.open...in/vavai/riv/obor
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http://linked.open...ichTvurcuVysledku
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http://linked.open...cetTvurcuVysledku
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http://linked.open...vavai/riv/projekt
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http://linked.open...UplatneniVysledku
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http://linked.open...v/svazekPeriodika
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http://linked.open...iv/tvurceVysledku
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http://linked.open...ain/vavai/riv/wos
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issn
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number of pages
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http://bibframe.org/vocab/doi
| - 10.1016/j.physa.2012.04.005
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http://localhost/t...ganizacniJednotka
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