About: On Hurst exponent estimation under heavy-tailed distributions

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
Description	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. 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. (en)
Title	On Hurst exponent estimation under heavy-tailed distributions On Hurst exponent estimation under heavy-tailed distributions (en)
skos:prefLabel	On Hurst exponent estimation under heavy-tailed distributions On Hurst exponent estimation under heavy-tailed distributions (en)
skos:notation	RIV/67985556:_____/10:00343525!RIV11-GA0-67985556
http://linked.open...avai/riv/aktivita	P S Z
http://linked.open...avai/riv/aktivity	P(GA402/09/0965), S, Z(AV0Z10750506), Z(MSM0021620841)
http://linked.open...iv/cisloPeriodika	18
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Krištoufek, Ladislav Baruník, Jozef
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Ústav teorie informace a automatizace AV ČR, v. v. i.
http://linked.open...dnocenehoVysledku	276726
http://linked.open...ai/riv/idVysledku	RIV/67985556:_____/10:00343525
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	high frequency data analysis; heavy tails; Hurst exponent (en)
http://linked.open.../riv/klicoveSlovo	Hurst exponent heavy tails high frequency data analysis
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[1CBA93B7CD18]
http://linked.open...i/riv/nazevZdroje	Physica. A : Statistical Mechanics and its Applications
http://linked.open...in/vavai/riv/obor	AH
http://linked.open...ichTvurcuVysledku	2 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	New Approaches to Monitoring and Forecasting Financial Markets
http://linked.open...UplatneniVysledku	2010
http://linked.open...v/svazekPeriodika	389
http://linked.open...iv/tvurceVysledku	Krištoufek, Ladislav Baruník, Jozef
http://linked.open...ain/vavai/riv/wos	000280385600015
http://linked.open...n/vavai/riv/zamer	Pokročilé matematické metody získávání, zpracování a využití informací a znalostí ve složitých a nedeterministických systémech Development of the Czech Society in the EU: challenges and risks
issn	0378-4371
number of pages	20 (xsd:int)
is http://linked.open...avai/riv/vysledek of	On Hurst exponent estimation under heavy-tailed distributions On Hurst exponent estimation under heavy-tailed distributions On Hurst exponent estimation under heavy-tailed distributions

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