On Hurst exponent estimation under heavy-tailed distributions
نویسندگان
چکیده
منابع مشابه
On Hurst exponent estimation under heavy-tailed distributions
In this paper, we show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended fluctuation analysis (MF − DFA), detrending moving average (DMA) and generalized Hurst exponent approach (GHE) estimate Hurst exponent on independent seri...
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In order to estimate the Hurst exponent of long-range dependent time series numerous estimators such as based e.g. on rescaled 9 range statistic (R/S) or detrended fluctuation analysis (DFA) are traditionally employed. Motivated by empirical behaviour of the bias of R/S estimator, its bias-corrected version is proposed. It has smaller mean squared error than DFA and behaves comparably 11 to wav...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2010
ISSN: 0378-4371
DOI: 10.1016/j.physa.2010.05.025