Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals

75 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Measuring capital market efficiency: Global and local correlations structure (2012, methodology): “Such a procedure is chosen because each of the methods is better suited for different types of processes both for Hurst exponent and fractal dimension estimation [46, 7, 30, 25].”
Multifractal detrended cross-correlations between the Chinese exchange market and stock market (2012, background): “However, theHurst exponent estimated throughDFA is affected by the choice ofminimumormaximum scales [49], which are limited by the sample size.”