文献类型：期刊文献

英文题名：Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series

作者：Shao, Ying-Hui[1,2];Gu, Gao-Feng[1,2];Jiang, Zhi-Qiang[1,2];Zhou, Wei-Xing[1,2,3];Sornette, Didier[4,5]

机构：[1]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[4]ETH, Dept Management Technol & Econ, Zurich, Switzerland;[5]Univ Geneva, Swiss Finance Inst, Geneva, Switzerland

年份：2012

卷号：2

外文期刊名：SCIENTIFIC REPORTS

收录：;WOS:【SCI-EXPANDED(收录号:WOS:000311099000001)】；

基金：This work was partially supported by the Natural Science Foundation of China (11075054), the Shanghai (Follow-up) Rising Star Program (11QH1400800), and the Fundamental Research Funds for the Central Universities.

语种：英文

摘要：Notwithstanding the significant efforts to develop estimators of long-range correlations (LRC) and to compare their performance, no clear consensus exists on what is the best method and under which conditions. In addition, synthetic tests suggest that the performance of LRC estimators varies when using different generators of LRC time series. Here, we compare the performances of four estimators [Fluctuation Analysis (FA), Detrended Fluctuation Analysis (DFA), Backward Detrending Moving Average (BDMA), and Centred Detrending Moving Average (CDMA)]. We use three different generators [Fractional Gaussian Noises, and two ways of generating Fractional Brownian Motions]. We find that CDMA has the best performance and DFA is only slightly worse in some situations, while FA performs the worst. In addition, CDMA and DFA are less sensitive to the scaling range than FA. Hence, CDMA and DFA remain "The Methods of Choice'' in determining the Hurst index of time series.