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

SYSNO ASEP	0349301
Document Type	J - Journal Article
R&D Document Type	Journal Article
Subsidiary J	Ostatní články
Title	Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Author(s)	Krištoufek, Ladislav (UTIA-B)_{RID, ORCID}
Number of authors	1
Source Title	AUCO Czech Economic Review, Acta Universitatis Carolinae - OECONOMICA - ISSN 1802-4696 4/2010, č. 3 (2010), s. 236-250
Number of pages	15 s.
Language	eng - English
Country	CZ - Czech Republic
Keywords	rescaled range analysis ; detrended fluctuation analysis ; Hurst exponent ; long-range dependence
Subject RIV	AH - Economics
R&D Projects	GD402/09/H045 GA ČR - Czech Science Foundation (CSF)
	GA402/09/0965 GA ČR - Czech Science Foundation (CSF)
CEZ	AV0Z10750506 - UTIA-B (2005-2011)
Annotation	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.
Workplace	Institute of Information Theory and Automation
Contact	Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
Year of Publishing	2011

Number of the records: 1