Tests for Hurst Effect

R B Davies · David S. Harte

544 citations0/0 files storedBiometrika

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

Abstract

We consider the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process. Our tests are based on the beta-optimal principle (Davies, 1969), local optimality and the rescaled range test.

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1968Fractional Brownian Motions, Fractional Noises and Applications 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence

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1992Statistical Methods for Data with Long-Range Dependence 1994Simulation of Stationary Gaussian Processes in [0, 1]d 2006Fractal analyses for ‘short’ time series: A re-assessment of classical methods 2012Revisiting detrended fluctuation analysis 2000Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes 1997Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series 2004Modelling structural breaks, long memory and stock market volatility: an overview 1996Consistent Testing for Serial Correlation of Unknown Form

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