Blocks adjustment—reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation |
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Authors: | Sebastian Michalski |
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Institution: | Institute of Econometrics, Warsaw School of Economics, Al. Niepodleg?o?ci 162, 02-554 Warsaw, Poland |
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Abstract: | The length of minimal and maximal blocks equally distant on log-log scale versus fluctuation function considerably influences bias and variance of DFA. Through a number of extensive Monte Carlo simulations and different fractional Brownian motion/fractional Gaussian noise generators, we found the pair of minimal and maximal blocks that minimizes the sum of mean-squared error of estimated Hurst exponents for the series of length . Sensitivity of DFA to sort-range correlations was examined using ARFIMA(p,d,q) generator. Due to the bias of the estimator for anti-persistent processes, we narrowed down the range of Hurst exponent to |
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Keywords: | Detrended fluctuation analysis Scaled windowed variance Fractional Brownian motion Hurst exponent ARFIMA |
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