IDEAS home Printed from https://ideas.repec.org/a/eee/chsofr/v39y2009i2p731-745.html
   My bibliography  Save this article

Using the R/S method to determine the periodicity of time series

Author

Listed:
  • Yin, Xin-An
  • Yang, Xiao-Hua
  • Yang, Zhi-Feng

Abstract

R/S method is widely used to estimate long-range dependence of a time series, but few papers do research on how to use the R/S method to determine the periodicity. In this paper, the log(h)-log((R/S)h) figures and the log(h)-Vh figures are further studied by lots of numeral simulations, which shows that the two figures of a periodic time series both have obviously similar structures. Based on these structures, a new method, similar figure method (SFM), is established to estimate whether a time series has periodicity and determine the length of the periodicity. SFM is tested with a disturbed nonlinear time series, an actual monthly runoff series and a random series. The results show that SFM is effective. This method is an extension to the R/S analysis.

Suggested Citation

  • Yin, Xin-An & Yang, Xiao-Hua & Yang, Zhi-Feng, 2009. "Using the R/S method to determine the periodicity of time series," Chaos, Solitons & Fractals, Elsevier, vol. 39(2), pages 731-745.
    • Handle: RePEc:eee:chsofr:v:39:y:2009:i:2:p:731-745
    DOI: 10.1016/j.chaos.2007.01.085
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0960077907001804
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.chaos.2007.01.085?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Testing for long range dependence in banking equity indices," Chaos, Solitons & Fractals, Elsevier, vol. 26(5), pages 1423-1428.
    2. Naschie, M.S. El, 2006. "Fractal black holes and information," Chaos, Solitons & Fractals, Elsevier, vol. 29(1), pages 23-35.
    3. Koong, C.S. & Tsui, Albert K. & Chan, W.S., 1997. "On tests for long memory in Pacific Basin stock returns," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 445-449.
    4. Tabak, Benjamin M. & Cajueiro, Daniel O., 2005. "The long-range dependence behavior of the term structure of interest rates in Japan," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 350(2), pages 418-426.
    5. El Naschie, M.S., 2005. "On Penrose view of transfinite sets and computability and the fractal character of E-infinity spacetime," Chaos, Solitons & Fractals, Elsevier, vol. 25(3), pages 531-533.
    6. El Naschie, M.S., 2005. "Einstein’s dream and fractal geometry," Chaos, Solitons & Fractals, Elsevier, vol. 24(1), pages 1-5.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Li, Ming & Zhang, Peidong & Leng, Jianxing, 2016. "Improving autocorrelation regression for the Hurst parameter estimation of long-range dependent time series based on golden section search," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 189-199.
    2. Cajueiro, Daniel O. & Tabak, Benjamin M., 2009. "Testing for long-range dependence in the Brazilian term structure of interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 40(4), pages 1559-1573.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Singh, S.L. & Jain, Sarika & Mishra, S.N., 2009. "A new approach to superfractals," Chaos, Solitons & Fractals, Elsevier, vol. 42(5), pages 3110-3120.
    2. Nguyen, Dung Tien, 2012. "Mackey–Glass equation driven by fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5465-5472.
    3. El Naschie, M.S., 2006. "Elementary prerequisites for E-infinity," Chaos, Solitons & Fractals, Elsevier, vol. 30(3), pages 579-605.
    4. Liu, Li, 2014. "Cross-correlations between crude oil and agricultural commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 293-302.
    5. El Naschie, M.S., 2006. "Elementary number theory in superstrings, loop quantum mechanics, twistors and E-infinity high energy physics," Chaos, Solitons & Fractals, Elsevier, vol. 27(2), pages 297-330.
    6. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Time-varying long-range dependence in US interest rates," Chaos, Solitons & Fractals, Elsevier, vol. 34(2), pages 360-367.
    7. Foad Shokrollahi & Marcin Marcin Magdziarz, 2020. "Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate," Papers 2007.12228, arXiv.org, revised Nov 2020.
    8. Qiu, Hua & Su, Weiyi, 2007. "3-Adic Cantor function on local fields and its p-adic derivative," Chaos, Solitons & Fractals, Elsevier, vol. 33(5), pages 1625-1634.
    9. Wang, Xiao-Tian & Wu, Min & Zhou, Ze-Min & Jing, Wei-Shu, 2012. "Pricing European option with transaction costs under the fractional long memory stochastic volatility model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1469-1480.
    10. Gerlich, Nikolas & Rostek, Stefan, 2015. "Estimating serial correlation and self-similarity in financial time series—A diversification approach with applications to high frequency data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 434(C), pages 84-98.
    11. El Naschie, M.S., 2006. "On two new fuzzy Kähler manifolds, Klein modular space and ’t Hooft holographic principles," Chaos, Solitons & Fractals, Elsevier, vol. 29(4), pages 876-881.
    12. Chen, Ning & Hao, Ding & Tang, Ming, 2009. "Automatic generation of symmetric IFSs contracted in the hyperbolic plane," Chaos, Solitons & Fractals, Elsevier, vol. 41(2), pages 829-842.
    13. Lautier, Delphine & Raynaud, Franck, 2011. "Statistical properties of derivatives: A journey in term structures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(11), pages 2009-2019.
    14. Chen, Qing-Jiang & Qu, Xiao-Gang, 2009. "Characteristics of a class of vector-valued non-separable higher-dimensional wavelet packet bases," Chaos, Solitons & Fractals, Elsevier, vol. 41(4), pages 1676-1683.
    15. Wu, Yahao & Wang, Xiao-Tian & Wu, Min, 2009. "Fractional-moment CAPM with loss aversion," Chaos, Solitons & Fractals, Elsevier, vol. 42(3), pages 1406-1414.
    16. Altun, Ishak & Sahin, Hakan & Aslantas, Mustafa, 2021. "A new approach to fractals via best proximity point," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
    17. İlarslan, Kazım & Boyacıoğlu, Özgür, 2008. "Position vectors of a timelike and a null helix in Minkowski 3-space," Chaos, Solitons & Fractals, Elsevier, vol. 38(5), pages 1383-1389.
    18. El Naschie, M.S., 2007. "The Fibonacci code behind super strings and P-Branes. An answer to M. Kaku’s fundamental question," Chaos, Solitons & Fractals, Elsevier, vol. 31(3), pages 537-547.
    19. Cajueiro, Daniel O. & Tabak, Benjamin M., 2010. "Fluctuation dynamics in US interest rates and the role of monetary policy," Finance Research Letters, Elsevier, vol. 7(3), pages 163-169, September.
    20. Khaled Mokni & Manel Youssef, 2020. "Empirical analysis of the cross‐interdependence between crude oil and agricultural commodity markets," Review of Financial Economics, John Wiley & Sons, vol. 38(4), pages 635-654, October.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:chsofr:v:39:y:2009:i:2:p:731-745. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Thayer, Thomas R. (email available below). General contact details of provider: https://www.journals.elsevier.com/chaos-solitons-and-fractals .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.