Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals

0349301 - ÚTIA 2011 RIV CZ eng J - Článek v odborném periodiku
Krištoufek, Ladislav
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals.
AUCO Czech Economic Review. 4/2010, č. 3 (2010), s. 236-250. ISSN 1802-4696
Grant CEP: GA ČR GD402/09/H045; GA ČR GA402/09/0965
Grant ostatní: GA UK(CZ) 118310
Výzkumný záměr: CEZ:AV0Z10750506
Klíčová slova: rescaled range analysis * detrended fluctuation analysis * Hurst exponent * long-range dependence
Kód oboru RIV: AH - Ekonomie
http://library.utia.cas.cz/separaty/2010/E/kristoufek-rescaled range analysis and detrended fluctuation analysis finite sample properties and confidence intervals.pdf

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.
Trvalý link: http://hdl.handle.net/11104/0189575