Multifractal diffusion entropy analysis: Optimal bin width of probability histograms

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F14%3A00221493" target="_blank" >RIV/68407700:21340/14:00221493 - isvavai.cz</a>
Result on the web
<a href="http://www.sciencedirect.com/science/article/pii/S0378437114005755" target="_blank" >http://www.sciencedirect.com/science/article/pii/S0378437114005755</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.physa.2014.07.008" target="_blank" >10.1016/j.physa.2014.07.008</a>

Result language
angličtina
Original language name
Multifractal diffusion entropy analysis: Optimal bin width of probability histograms
Original language description
In the framework of Multifractal Diffusion Entropy Analysis we propose a method for choosing an optimal bin-width in histograms generated from underlying probability distributions of interest. The method presented uses techniques of Rényi?s entropy and the mean squared error analysis to discuss the conditions under which the error in the multifractal spectrum estimation is minimal. We illustrate the utility of our approach by focusing on a scaling behavior of financial time series. In particular, we analyze the S&P500 stock index as sampled at a daily rate in the time period 1950?2013. In order to demonstrate a strength of the method proposed we compare the multifractal ?-spectrum for various bin-widths and show the robustness of the method, especiallyfor large values of q. For such values, other methods in use, e.g., those based on moment estimation, tend to fail for heavy-tailed data or data with long correlations. Connection between the ?-spectrum and Rényi?s q parameter is also di
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
BE - Theoretical physics
OECD FORD branch
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Project
<a href="/en/project/GCP402%2F12%2FJ077" target="_blank" >GCP402/12/J077: Application of generalized statistics in critical phenomena and financial markets</a><br>
Continuities
S - Specificky vyzkum na vysokych skolach

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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