Institute of Information Theory and Automation

Publication details

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

Journal Article

Krištoufek Ladislav

serial: AUCO Czech Economic Review, 3 (2010), p. 236-250

research: CEZ:AV0Z10750506

project(s): 118310, GA UK, GD402/09/H045, GA ČR, GA402/09/0965, GA ČR

keywords: rescaled range analysis, detrended fluctuation analysis, Hurst exponent, long-range dependence

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abstract (eng):

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.


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Last modification: 21.12.2012
Institute of Information Theory and Automation