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

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Title:Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Creators:
Krištoufek, Ladislav
Journal or Publication Title:
AUCO Czech Economic Review, 4, 3, pp. 315-330
Uncontrolled Keywords:Rescaled range analysis, detrended fluctuation analysis, Hurst exponent, long-range dependence, confidence intervals

Abstract

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 several 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 2^9 to 2^17, 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.

Official URL: http://www.ceeol.com/aspx/issuedetails.aspx?issueid=003C3073-C371-49F5-B661-7B172CE96EF6&articleid=97E3B397-0E98-4C59-B848-F197FEC09C28

Title:Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals
Creators:
Krištoufek, Ladislav
Uncontrolled Keywords:Rescaled range analysis, detrended fluctuation analysis, Hurst exponent, long-range dependence, confidence intervals
Subjects:H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
H Social Sciences > HF Commerce
Divisions:Section of external journals > AUCO Czech Economic Review
Journal or Publication Title:AUCO Czech Economic Review
Volume:4
Number:3
Page Range:pp. 315-330
ISSN:1802-4696
Publisher:Charles University
Related URLs:
URLURL Type
http://auco.cuni.czPublisher
http://avi.lib.cas.cz/node/183Publisher
ID Code:6313
Item Type:Article
Deposited On:01 Dec 2010 18:09
Last Modified:01 Dec 2010 17:09

Citation

Krištoufek, Ladislav (2010) Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals. AUCO Czech Economic Review, 4 (3). pp. 315-330. ISSN 1802-4696

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