Fractional Brownian Bridge as a Tool for Short Time Series Analysis

Kód výsledku v IS VaVaI

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Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Fractional Brownian Bridge as a Tool for Short Time Series Analysis

Popis výsledku v původním jazyce

Traditional fractional stochastic processes represent suitable models for fractal analysis of long time series. However, due to their asymptotic behaviour, the estimation of Hurst exponent is often biased when the sample is too short. The novel approach is based on the construction of fractional Brownian bridge and thanks to its statistical properties and artificial extension to infinite length, it can be used for short time series investigation and resulting estimate was proven not to be burdened by bias. At first, the input signal is split into short stationary segments and the optimal interval length can be obtained via multiple statistical testing. Subsequently, the estimation of the Hurst exponent and its standard deviation is performed on the interval level. The methodology is applied to the stock market indices and based on the Hurst exponent variability in time, the decision about its predictability can be made. As a referential technique, the revisited zero-crossing method is presented and its perfor

Název v anglickém jazyce

Fractional Brownian Bridge as a Tool for Short Time Series Analysis

Popis výsledku anglicky

Traditional fractional stochastic processes represent suitable models for fractal analysis of long time series. However, due to their asymptotic behaviour, the estimation of Hurst exponent is often biased when the sample is too short. The novel approach is based on the construction of fractional Brownian bridge and thanks to its statistical properties and artificial extension to infinite length, it can be used for short time series investigation and resulting estimate was proven not to be burdened by bias. At first, the input signal is split into short stationary segments and the optimal interval length can be obtained via multiple statistical testing. Subsequently, the estimation of the Hurst exponent and its standard deviation is performed on the interval level. The methodology is applied to the stock market indices and based on the Hurst exponent variability in time, the decision about its predictability can be made. As a referential technique, the revisited zero-crossing method is presented and its perfor

Druh

D - Stať ve sborníku

CEP obor

BB - Aplikovaná statistika, operační výzkum

OECD FORD obor

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Projekt

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Návaznosti

S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Mathematical Methods in Economics 2016

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

149-154

Název nakladatele

Technical University of Liberec

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000385239500026