Performance of multifractal detrended fluctuation analysis on short time series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F13%3A00209967" target="_blank" >RIV/68407700:21340/13:00209967 - isvavai.cz</a>
Result on the web
<a href="http://arxiv.org/pdf/1311.2278.pdf" target="_blank" >http://arxiv.org/pdf/1311.2278.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1103/PhysRevE.87.022918" target="_blank" >10.1103/PhysRevE.87.022918</a>

Result language
angličtina
Original language name
Performance of multifractal detrended fluctuation analysis on short time series
Original language description
The performance of the multifractal detrended analysis on short time series is evaluated for synthetic samples of several mono- and multifractal models. The reconstruction of the generalized Hurst exponents is used to determine the range of applicabilityof the method and the precision of its results as a function of the decreasing length of the series. As an application the series of the daily exchange rate between the U.S. dollar and the euro is studied.
Czech name
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Czech description
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Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BG - Nuclear, atomic and molecular physics, accelerators
OECD FORD branch
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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)

Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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