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Publication details

Classical and modified rescaled range analysis: Sampling properties under heavy tails

Journal Article

Krištoufek Ladislav

serial: IES Wokring Papers vol.2009, 29 (2009), p. 1-17

research: CEZ:AV0Z10750506

project(s): GD402/09/H045, GA ČR

keywords: rescaled range, modified rescaled range, Hurst exponent, long-range dependence, confidence intervals

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abstract (eng):

Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range. We show that the difference in expected values and confidence intervals enables us to use both methods together to clearly distinguish between the two types of processes. Moreover, both methods are robust against the presence of heavy tails in the underlying process.


bocek: 2012-12-21 16:10