基于经典R/S分析方法的H指数估计有效性评价被引量：9

Assessment on the Efficiency of Hurst Index Estimation Based on Classical R/S Method

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摘要在设定不同H真实值的情况下,通过DHM算法模拟出一系列FGN序列,对经典R/S分析方法估计H指数的有效性进行研究,并对中国股市收益序列的H指数进行测定。研究结果表明：当H真实值介于0-0.6和0.8-1之间时,分别高估和低估H指数;仅当H真实值介于0.6-0.8之间时,经典R/S分析方法才能做出稍好的估计,其估计有效性尽管不受回归方式、局部趋势性剔除处理的影响,但是受到标度长度的选取、短期相关性处理、序列长度、序列包含的白噪声成分强弱等各种因素的显著影响,中国股市收益序列的H指数可能介于0.6-0.8之间,从而具有明显的长记忆性。 The efficiency of estimating Hurst index with classical Rescaled Range analysis is studied by simulating FGN series with DHM, and H index of stock return series in China is measured by this method. The results show that the efficiency of Rescaled Range analysis depends on the length and true Hurst index of series, the type of dealing with short - run dependence, strength of added white noise in series, scaled length used during the Rescaled Range analysis, and H index of stock return series in China is possibly between 0.6 and 0.8, which shows that stock market shows evidence of long memory.

作者黄诒蓉罗奕

机构地区中山大学管理学院广东技术师范学院管理学院

出处《统计与信息论坛》 CSSCI 2009年第8期59-64,共6页 Journal of Statistics and Information

基金国家自然科学基金项目<资本市场的分形结构及其应用研究>(70501034)

关键词 HURST指数经典R/S分析 DHM FGN序列有效性 Hurst index classical R/S analysis DHM FGN series efficiency

分类号 O211.61 [理学—概率论与数理统计]

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