Počet záznamů: 1
Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
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SYSNO ASEP 0349301 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Ostatní články Název Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals Tvůrce(i) Krištoufek, Ladislav (UTIA-B) RID, ORCID Celkový počet autorů 1 Zdroj.dok. AUCO Czech Economic Review, Acta Universitatis Carolinae - OECONOMICA - ISSN 1802-4696
4/2010, č. 3 (2010), s. 236-250Poč.str. 15 s. Jazyk dok. eng - angličtina Země vyd. CZ - Česká republika Klíč. slova rescaled range analysis ; detrended fluctuation analysis ; Hurst exponent ; long-range dependence Vědní obor RIV AH - Ekonomie CEP GD402/09/H045 GA ČR - Grantová agentura ČR GA402/09/0965 GA ČR - Grantová agentura ČR CEZ AV0Z10750506 - UTIA-B (2005-2011) Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2011
Počet záznamů: 1