Journal
COMPUTATIONAL STATISTICS & DATA ANALYSIS
Volume 51, Issue 9, Pages 4510-4525Publisher
ELSEVIER
DOI: 10.1016/j.csda.2006.07.033
Keywords
detrended fluctuation analysis (DFA) estimator; Hurst exponent; long-range dependence; resealed adjusted range statistic (R/S); scaling property; wavelet estimator
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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 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 to wavelet estimator for traces of size as large as 2(15) drawn from some commonly considered long-range dependent processes. It is also shown that several variants of R/S and DFA estimators are possible depending on the way they are defined and that they differ greatly in their performance. (c) 2006 Elsevier B.V. All rights reserved.
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