کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979811 933397 2006 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bootstrap testing for detrended fluctuation analysis
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Bootstrap testing for detrended fluctuation analysis
چکیده انگلیسی

Detrended fluctuation analysis (DFA) is a scaling method that allows the detection of long memory in a time series. Until now no asymptotic distribution has been found for this statistic. The bootstrap technique allows the simulation of the probability distribution of any statistic. In this paper the results of the Monte Carlo study using bootstrap method show that the DFA test has reasonably good power for short time series. Another advantage of the bootstrap technique is that allows the calculation of finite sample critical values. As an example we calculate bootstrap pp-values for financial returns time series using DFA.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 360, Issue 1, 15 January 2006, Pages 89–98
نویسندگان
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