Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979811 | Physica A: Statistical Mechanics and its Applications | 2006 | 10 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Pilar Grau-Carles,