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Statements

Subject Item
n2:RIV%2F67985556%3A_____%2F10%3A00349301%21RIV11-GA0-67985556
rdf:type
skos:Concept n11:Vysledek
dcterms:description
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. 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.
dcterms:title
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
skos:prefLabel
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
skos:notation
RIV/67985556:_____/10:00349301!RIV11-GA0-67985556
n3:aktivita
n12:P n12:Z
n3:aktivity
P(GA402/09/0965), P(GD402/09/H045), Z(AV0Z10750506)
n3:cisloPeriodika
3
n3:dodaniDat
n13:2011
n3:domaciTvurceVysledku
n15:6541852
n3:druhVysledku
n10:J
n3:duvernostUdaju
n14:S
n3:entitaPredkladatele
n16:predkladatel
n3:idSjednocenehoVysledku
284901
n3:idVysledku
RIV/67985556:_____/10:00349301
n3:jazykVysledku
n7:eng
n3:klicovaSlova
rescaled range analysis; detrended fluctuation analysis; Hurst exponent; long-range dependence
n3:klicoveSlovo
n5:Hurst%20exponent n5:long-range%20dependence n5:detrended%20fluctuation%20analysis n5:rescaled%20range%20analysis
n3:kodStatuVydavatele
CZ - Česká republika
n3:kontrolniKodProRIV
[A0EECC8D3707]
n3:nazevZdroje
Czech Economic Review
n3:obor
n17:AH
n3:pocetDomacichTvurcuVysledku
1
n3:pocetTvurcuVysledku
1
n3:projekt
n9:GD402%2F09%2FH045 n9:GA402%2F09%2F0965
n3:rokUplatneniVysledku
n13:2010
n3:svazekPeriodika
4/2010
n3:tvurceVysledku
Krištoufek, Ladislav
n3:zamer
n18:AV0Z10750506
s:issn
1802-4696
s:numberOfPages
15