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

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  • 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
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    References listed on IDEAS

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    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.

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