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 N = 2 p , p = 7 , … , 15 . 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 1 2 ⩽ H < 1 .
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
