How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F12%3A10124461" target="_blank" >RIV/00216208:11230/12:10124461 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/12:00381822
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S0378437112002981" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0378437112002981</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2012.04.005" target="_blank" >10.1016/j.physa.2012.04.005</a>
Alternative languages
Result language
angličtina
Original language name
How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
Original language description
In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-range correlation detection - classical and modified rescaled range analyses. A focus is put on an effect of different distributional properties on an ability of the methods to efficiently distinguish between short-term memory and long-term memory. To do so, we analyze the behavior of the estimators for independent, short-range dependent, and long- range dependent processes with innovations from eight different distributions. We find that apart from a combination of very high levels of kurtosis and skewness, both estimators are quite robust to distributional properties. Importantly, we show that R/S is biased upwards (yet not strongly) for short-range dependent processes, while M-R/S is strongly biased downwards for long-range dependent processes regardless of the distribution of innovations.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Physica A: Statistical Mechanics and its Applications
ISSN
0378-4371
e-ISSN
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Volume of the periodical
391
Issue of the periodical within the volume
17
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
9
Pages from-to
4252-4260
UT code for WoS article
000305302600006
EID of the result in the Scopus database
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