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

摘要: We focus on finite sample properties of two mostly used methods Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation (DFA). Even though both have been widely applied different types financial assets, only seve- ral papers dealt with the which are crucial as differ significantly from asymptotic ones. Recently, R/S has shown to overestimate when compared DFA. However, we show that even estimates truly higher than an limit 0.5, for random time series lengths 2 9 17 , they remain very close proposed by Anis & Lloyd estimated standard deviations lower ones On other hand, DFA 0.5. The results propose still remains useful robust method newer is usually preferred in recent literature.