"P(GA402/09/0965), P(GD402/09/H045), Z(AV0Z10750506)" . "Czech Economic Review" . "15"^^ . . "RIV/67985556:_____/10:00349301!RIV11-GA0-67985556" . . "Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals"@en . "Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals" . . "3" . . "Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals" . "RIV/67985556:_____/10:00349301" . "We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation\u2014rescaled 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." . . . "1"^^ . . . "4/2010" . "Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals"@en . . . "Kri\u0161toufek, Ladislav" . "We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation\u2014rescaled 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."@en . . "[A0EECC8D3707]" . "1"^^ . . . . "CZ - \u010Cesk\u00E1 republika" . . "284901" . . . "1802-4696" . . "rescaled range analysis; detrended fluctuation analysis; Hurst exponent; long-range dependence"@en . .